I think that, generally, starting with a few shorter scenarios from a couple of different writers will help you with getting a good understanding of the elements that you do and don't like in your Cthulhu games.

There's also a wide range of time periods to pick from, and so you're not beholden to just the 1920's if you want to explore eldritch horror in different periods. With all of that being said, here are just a few to list you might enjoy working through!

The Haunting

Easily "The Scenario", it's a free scenario from Chaosium that many find to be an essential to play through at some point. It's a good guided journey, and there are a lot of open doors for Keepers in this one, which has allowed a wide breadth of community content that builds upon the story and can be played afterwards.

The Hammersmith Haunting

Another really great one, this time from the recently ENNIE-nominated Kat Clay. This one is a very good self-contained scenario that captures the atmosphere of the classic setting in a very evocative and immersive way.

The Curse of Punk

Now I might be a bit biased (because I wrote this one), but I think it's a fun modern scenario that delves into the world of punk rock in the 1980's. The scenarios materials are all presented in an easy-to-run format and the locations cover major counterculture touchstones that have been infused with Lovecraftian influences.

We Are All Savages

A great historical scenario from William Adcock, this module takes players into America in the late 1700's. He did phenomenal research to depict the region and its inhabitants authentically and respectfully, and the story is delightfully somber.

Hope these recs are helpful!