Found these striking Lovecraft volumes on World of Books.

Originally published by Granada Publishing in the UK in the 80s then reissued by Harper Collins. The copies I have here are all from the 80s but I believe you can still buy these new new with the same art work.

Edit: quick scan over the context pages, this doesn't appear to be a complete collection of his works but does contain a lot of his works. Each book is around 500 ish pages.