I would also suggest At the Mountains of Madness as a start but there are a number of the shorter stories which are quite accessible. I found a number of them made a lasting impression!
As to gaming it, it will depend on the type of experience you want to have. The basic premise of Call of Cthulhu is that if you actually meet any of the Great Old Ones then, at best, you will simply go mad. Fighting them in a wargaming sense (even in Cthulhu Now) is simply not a real option. The key with the roleplaying game is to create an environment where the players can have small victories but are ultimately doomed. This atmosphere can be quite difficult to translate to the tabletop though.
Generally if we are playing a mythos influenced game it is against the minions you have some chance, even if only a minuscule one, of beating - so cultists, deep ones etc. As to figures, we have tended to stick to 28mm as it allows the mixing in of figures from WW1, Pulp and inter-war genres along with appropriate period vehicles etc. RAFM produce a range of the mythos creatures (though bear in mind that you may not know what it is even after you've seen the figure!). I have used West Wind piranha men as deep ones...
...and Pulp Figures, Artizan and Brigade Games all do nice cultist figures. We did play a game recently using a SOTA Toys Cthulhu (obviously not as Cthulhu himself - it was big but nowhere near that big) and just having it appear on the table told us we were going to be lucky to get out alive!
As to rules, we have tended to stick to ones which allow you to keep the sanity element from the original roleplaying game as it is an essential part (at least in our view) of the mythos. Of course you could just use the Chaosium BRP Call of Cthulhu rules which are perfectly serviceable and do, of course, include all the elements you are likely to meet. We tend to use Savage Worlds with the sanity element taken from their Tour of Darkness weird Vietnam supplement. You can find creatures similar to some of the mythos ones is some of the other supplements.