I will be brief, since I don't read much horror and am generally ignorant of Lovecraft's work, so I won't try to make a general statement based on this one story.
At the Mountains of Madness itself was OK, not great. Lovecraft is far more concerned with describing the extinct society of the Old Ones and their struggles with surviving Earth than injecting genuine dread into the story. It left little impression on me.
I liked the introduction by China Miéville better than the actual story. Likewise, Lovecraft's survey of horror in Western literature is interesting although somewhat dry--keep in mind, however, that I'm not all that interested in this subject. Those who do enjoy horror, especially fans of Lovecraft, will no doubt find the essay and the book itself fascinating. And I won't stand in their way.