Reddit mentions of The Hastur Cycle: 13 Tales of Horror Defining Hastur, the King in Yellow, Yuggoth, and the Dread City of Carcosa (Call of Cthulhu Fiction)

That's the one edited by Robert Price? Definitely worth it, as are pretty much all of the compilations he's put together over the years (most, if not all, of Chaosium's fiction lineup, and a number of related books published by others). It covers a lot of territory, from the earlier stories by Ambrose Bierce and Arthur Machen that inspired both Chambers and Lovecraft, some of the most important works from the younger members of Lovecraft's circle (including James Blish's hugely important "More Light," which is quite difficult to find elsewhere these days, and August Derleth's "The Return of Hastur" which... isn't difficult to find at all, but is still significant). The only really downside is that it duplicates a lot of stuff easily available elsewhere, including the two best short stories from Chamber's The King in Yellow collection and Lovecraft's "The Whisperer in Darkness," but it's probably still worth it despite that, and it's a convenient volume even so. And, for my money, Karl Wagner's "The River of Night's Dreaming" is worth the price of admission by itself.

I would also recommend Rehearsals for Oblivion, which is a similar short story collection, but one that focuses exclusively on more modern works and is curated to emphasize Chamber's work and not Lovecraft's. As such, it contains a lot of very, very good stories that would likely be overlooked in more Cthulhu-centric compilations.

There's also In the Court of the Yellow King, which I haven't read so I can't vouch for it personally. But it does have the benefit of having a Kindle version available, unlike the above two collections, which makes it considerably cheaper if you don't mind reading on a digital device. And Joseph S. Pulver has edited no less than three Hastur/King in Yellow-centric short story compilations: A Season in Carcosa, Cassilda's Song, and The King in Yellow Tales Vol. 1. Haven't read any of these, either (though they're up next on my reading list, funnily enough), but, again, all available as Kindle eBooks, and the last one, in particular, is dirt cheap in that format.

Lovecraft himself would probably reject the idea of an official cannon for his mythos. He was ambiguous about everything, re-using names in contradictory fashion all the time. He was happy to have his friends add stories to the colective "Yog-Sothothery" as he referred to the mythos, simply because he enjoyed reading them and watching his creations grow through the contributions of others. It wasn't until after his death that Derleth thought to try and definitively codify the mythos, and he did a generally poor job of it, tying each great old one to an element and creating such silly ideas as oppositional deities and magic that would thwart all mythos creatures.

Honestly, the closest thing to canon that exists for the mythos as it exists today is probably the Call of Cthulhu rpg by Chaosium. Much of the modern interpretation of the monsters and gods that Lovecraft dreamed up are a direct result of the published works of that game.

As far as Hastur and the King in Yellow, they are even harder to define than almost any other entity that is accepted as part of the mythos. Hastur first appeared in Ambrose Bierce's "Haïta the Shepherd" as a benevolent god of Shepherds. It wasn't until Robert Chambers' 'The King in Yellow' that Hastur and the eponymous king would become associated, and as was previously mentioned, that is a collection of short stories wherein Hastur is at times both a place and an entity, and the King a sort of herald of Doom.

In modern Chaosium usage, Hastur is an almost unfathomable great old one and the king is his avatar, a form that is comprehensible to mortals. They are associated with a the play 'le Roi en Jaune' (the king in yellow) which drives those who read/see it mad. They are associated with the mythical city of Carcosa, on the shores of lake Hali and the constellation of the Hyades.

There are two pretty good fiction collections by Chaosium that focus on Hastur/the King in yellow:

The Hastur Cycle

Cassilda's Song

Edit: spelling and grammar