Well, I posted somewhere that I was going to read The King in Yellow. Well, upon doing some research I found out that only the first four stories (its a short story collection) actually mention the King in Yellow. Some of the others are supposed to be similar, however. What I did was read the four stories that mention the King in Yellow. They are good, but not necessarily what I expected. I will say though, that at first, I became quite obsessed.
I plan on reading some other things that have to do with Carcosa or the King in Yellow, though I'm not sure that I'm going to read anymore Robert Chambers stories.
I will check back in when I read some more.
I would say that, if you are interested at all in The King in Yellow, then Chamber's stories are good place to start.