As I said in this essay, I find that only one Lovecraft story really presents what I may end up calling a "centric crossover:" one that specializes in bringing together two or more characters or milieus that have been, or are intended to become, the central attractions of a given narrative. (The "intended to become" application shows up most prominently in "back-door pilots," which I discussed here.) This story is THE DREAM-QUEST OF UNKNOWN KADATH, completed by Lovecraft in 1927 and published posthumously by Arkham House in 1943.
Technically I must admit that the protagonist of DREAM-QUEST, Randolph Carter, is not the central attraction of the story of the only story in which he appears previous to DREAM-QUEST. This story was "The Statement of Randolph Carter," finished by Lovecraft in 1919 and published in 1920. The story, whose full text can be found on various Internet sites, follows the mold of many Lovecraft stories about foolish occultists who blunder across nameless horrors. Carter's companion Warren is lost to these horrors when the two of them investigate a cemetery near the Big Cypress Swamp in Florida; only Carter lives to make his "statement." The story bears no relationship to any of the so-called "dream-cycle" of Lovecraft stories, mostly written in the 1920s, in which Lovecraft's protagonists encounter evanescent fantasy-worlds that can only be reached through what moderns now call "lucid dreaming." However, Lovecraft must have liked the name-- he uses a protagonist named only "Carter" in a 1923 story, "The Unnameable"-- so when he began work upon DREAM-QUEST, it appears that he simply refashioned the viewpoint-character of "Statement" into a full-fledged central character, one who now possessed a singular ability to project himself into, and navigate within, the worlds of dream. This version of Randolph Carter seems patterned after that of "King Kuranes," an otherwise nameless man of 1920s England who projects himself into the world of dreams and never leaves it; he first appeared in the short story "Celephais," written in 1920 and published in 1922.
Kuranes, who is the central attraction in his original appearance, is one of five entities, or groups of entities, who had stories devoted to them, all of whom Randolph Carter encounters in DREAM-QUEST. The second of these is artist-turned-ghoul Richard Pickman of "Pickman's Model." Third and fourth are the Cats of Ulthar and the Other Gods, both of whom appear as the central attractions in eponymously titled short stories. And for the fifth, Carter meets Nyarlathotep, often mentioned as one of the deity-like alien beings called "the Great Old Ones," though he was also the focus of his own eponymous story as well.
In general I prefer Lovecraft's stories of cosmic horror over his dream-fantasies, written in a studied imitation of the fantasy-writer Lord Dunsany. DREAM-QUEST is, perhaps fittingly for a dream-narrative, rather rambling in its structure. Carter has one intense dream of a marvelous "sunset city," and years to visit it within the worlds of dream. However, he's unable to locate it despite copious interviews with the inhabitants of the dream-countries, though he's given tantalizing clues that lead him from place to place. Ultimately the Dunsanian mood of generally charming fantasy-worlds changes to one of horror as Carter encounters sinister beings allied to the Great Old Ones, culminating in a fateful encounter with Nyarlathotep, and the revelation of the true nature of the sunset city.
DREAM-QUEST's great problem is that while Lovecraft's delicate fantasies work well in short stories-- also the primary form in which Dunsany worked-- the conceit proves harder for him to pull off at novella-length, and one fantasy-realm seems pretty much like another. The forbidding mood-pieces prove more compelling, and I was particularly piqued when the author speaks of "the horror of infinite form." I might have thought that an experienced dreamer might have enjoyed his mind's ability to play with the finite forms of reality-- but it seems, given the novella's conclusion, that Lovecraft was primarily attracted to images of stability and comfort, while images of variability suggested ghastliness-- which, to be sure, made him one of America's premiere horror writers.
On a side-note, I see on Wikipedia that some critics have compared DREAM-QUEST's structure to that of Burroughs' Barsoom books, and to Baum's WONDERFUL WIZARD OF OZ. But given that one of Lovecraft's greatest literary idols was Edgar Allan Poe, I think it more likely that Lovecraft borrowed the rambling plot of DREAM-QUEST from Poe's only novel: the macabre NARRATIVE OF ARTHUR GORDON PYM.