The Mythos began in the late 1910s with the supernatural horror stories of H P Lovecraft. Other authors have added to the collected works of the Mythos over time, but the classic stories and core ideas are his. Although he had published previously, the first of his stories which could be linked with the Mythos is "Dagon", printed in June 1919. Dagon is the story of a merchant mariner washed up on a deserted island after escaping capture at the hands of the German navy during World War I, only to be confronted by something infinitely worse than any human enemy.
Lovecraft was one of a generation of writers churning out tales for the pulp magazines. (A lot of his later stories were printed in Weird Tales.) The pulps were literary publications printed on low grade paper and sold cheaply at news stands, tobacco shops, bus stations -- anywhere a shelf or a rack could be put up to display them. They tended towards fast-paced, melodramatic stories written to stir up the reader's emotions. It was the perfect environment for Lovecraft's macabre and foreboding tales, where happy endings are as rare as Deep Ones in the desert.
To Lovecraft, a dedicated materialist and lifelong pessimist, the universe was a dark and dangerous place. With no benevolent Creator to manage it, the ignorant, hostile cosmos cared no more for humanity than it did for a stray hydrogen atom drifting through space. He saw our Earth as an oasis in the wilderness, where ignorance really was bliss -- and he saw the human race doing its best to scale the walls of its cradle, completely unprepared for what it would find on the outside.
His writing became a framework to showcase this philosophy. Lovecraft's protagonists are almost universally well-educated men with a profound respect for discovery and esoteric learning. They bring about their own inevitable downfall by searching too eagerly for new knowledge, shaking off premonitions and darkly muttered warnings and delving into places where humans don't belong and aren't wanted. At that point they are either destroyed, or called on to make an enormous personal sacrifice -- sanity, reputation, or life itself -- to repair the harm their careless poking has caused.
The Lovecraft circle
While he was fairly reclusive, Lovecraft never attempted to cut himself off from contact with the world. For most of his life he wrote several letters a day, creating a vast correspondence (which has also been published). He was especially diligent in responding to letters by younger authors, and in this way came to be an influence on a number of up-and-coming pulp writers such as Frank Belknap Long, Robert E. Howard (creator of Conan the Barbarian), Clark Ashton-Smith, Robert Bloch and August Derleth.
As Lovecraft began reusing elements from his older stories (the Necronomicon for example), it also became common for the other writers, who came to know one another through their mutual acquaintance, to begin borrowing from him and each other in the same way. It was partly a joke, partly a compliment, partly because referring to the same invented sources gave those sources a respectability and instant reader recognition which made them that much more powerful as plot devices.
They even began to include each other in their stories -- for example, the protagonist of Lovecraft's story "The Haunter of the Dark" is named Robert Blake, and the story itself is dedicated to Robert Bloch, one of the Lovecraft circle writers. Bloch himself returns the favour in his story "The Shambler From the Stars". And in Frank Belknap Long's "The Space Eaters" a writer with the same first name and physical appearance as Lovecraft is frustrated when he finds the English language inadequate for conveying the kind of horror he wants to inflict on his readers.
This is how the work of a series of horror and adventure authors writing independently came to share enough common points to be collectively called the 'Cthulhu Mythos'.
The monsters of the Mythos tales are as likely to come out of space or time as the spiritual realm. They are ancient, enormously powerful, and concern themselves with matters completely incomprehensible to the pathetic primate minds of humankind. They aren't necessarily evil, they simply go about their own mysterious business, paying as much attention to us as we might pay to ants we accidentally crush underfoot while walking.
Cthulhu is the hideous, ancient, eldritch title entity of Lovecraft's 1926 story "The Call of Cthulhu". It's unclear why the Mythos was named after this particular Great Old One, since Call isn't among the most influential of the Mythos stories. The term 'Cthulhu Mythos' was coined by August Derleth, one of the writers influenced by Lovecraft and founder of Arkham House, the publishing company which went on to print volumes of Mythos literature by Lovecraft and others.
Derleth himself is a controversial figure to many fans. While it's true that he worked long and hard to keep Lovecraft's work available after his death, it's also true that he tried to reorganise the Mythos cosmology to suit his own purposes. He demoted the Great Old Ones from enigmatic interstellar consciousnesses whose purposes and methods were unknowable to part of a lowly natural order of elemental spirits who were malevolent just because.
It's also worth mentioning that the Conan tales written by Robert E. Howard (and others after his death) are set in the universe of the Cthulhu Mythos. While these tend to be stories of rollicking adventure rather than spooky horror, it's not unusual to see artifacts from lost ancient Hyperboria popping up in more conventional Mythos works.
Many people today are familiar with the Mythos through "Call of Cthulhu", the role-playing game published by Chaosium. While I'd hesitate to say the recent popularity of Mythos fiction is a result of a new generation of fans learning about it through the game, it has proven to be a very successful product for the company, who have also begun publishing anthologies of classic and new Mythos fiction under their Call of Cthulhu imprint.
And the success of the game has led to tangential but sort-of related items like the Cthulhu plush toy and Pokethulhu ("he's gotta catch us all"). Or maybe you'd like to play De Profundis, the game of Lovecraftian letter-writing from the abyss?
The Mythos has also made its way into cinema, although it has to be said that successful translations of Lovecraft and the Mythos into movies are rare.
The Necronomicon is a topic with enough depth to it to deserve an article all to itself. (Or perhaps a website and a book.) Over time the volume has become larger than life, and is certainly better known today than the stories that make reference to it. There are at least a dozen different books in the marketplace under the title of the Necronomicon, some of them homages, some of them hoaxes and at least one a collection of paintings by a practicing Dutch satanist.
I think it's enough to say here that if any secretive occult conspiracies or three-letter government agencies have evidence that the Necronomicon existed before Lovecraft started writing about it, they're keeping it to themselves.
Reading the Mythos
In general, the stories of the Cthulhu Mythos don't get sequels (Great Old Ones might come back to feature in another tale, but their victims typically don't), so there's no need to read Mythos stories in any particular order.
One of the exceptions is "Herbert West - Reanimator", but it would be fairer to call this a single story told in three installments. This story was also the inspiration for the "Re-Animator" movies, currently in their third incarnation.
Another exception is "The Statement of Randolph Carter" and the Dream Cycle stories which followed. These stories have a very different tone to most of the Mythos work, and I'd be tempted to exclude them as unrelated except that they follow the same loose rule of borrowing ideas and references from earlier writing. These stories follow the adventures of Carter, a skilled dreamer, who is able to penetrate deeper than most people into the weird spiritual realm our souls visit during sleep. Although Carter is opposed by powerful enemies (even Gods) he is able to usually able to win through by cleverness.
Arkham House claims to hold the copyrights for the stories of H. P. Lovecraft, but others argue that there is reason to believe the stories are in the public domain, and have made them available to read online.
www.hplovecraft.com - biographical site for H P Lovecraft
www.gizmology.net/lovecraft - online library of Lovecraft's work
www.cthuugle.com - Mythos search engine
www.shub-niggurath.com - another search engine
www.shoggoth.net - Mythos fan community site
www.yog-sothoth.com - Call of Cthulhu roleplaying community site
www.stationlink.com/pulpdom/pulphist.html - a history of the pulp magazines
www.necfiles.org - information on the Necronomicon hoax
www.necfiles.org/mythos.htm - extensive FAQ on the Cthulhu Mythos
directory.google.com/Top/Arts/Literature/Genres/Horror/Cthulhu_Mythos - Mythos directory
www.miskatonic.net - Miskatonic University, home of the fighting cephalopods and DIY necronomicon classes