I have two, the Knickerbocker Classics & Barnes & Noble Collectible Edition. Both are good. But I like the B&N one better for the annotations by S.T. Joshi and it’s a more complete collection then Knickerbocker one.
EDIT: If you’re going to get the B&N get the 2011 edition (purple ribbon bookmark one). Because the 2008 version (gold bookmark) haves a ton of typos and spelling errors.
I have a Complete Work Collection - Mammut edition and couple of " best of" antologies.
I also have this two beauty:
The Call of Cthulhu Illustrated by Barange
and
I have the B&N 2011 Edition. It is beautiful. That and Gollancz’ Centenary edition of the Adventures of Conan are easily my favourite books on my shelf.
The Barnes and Noble one is my favorite in terms of looks.
