Yesterday I posted some links to buy Appendix N books from Amazon. A lot of these books are out of print or obscure. It's also worth going through the ones that are available in free ebooks. My preferred source of free ebooks has always been Project Gutenberg, which has been doing this work for many years now. I'll also include links where possible to free Kindle ebooks for those who use it as an e-reader.
Note that some authors' works are only partially in the public domain. Pellucidar cuts off after 2 volumes, while the first 5 Barsoom tales are available. Only Merritt's earliest work is available publicly, but The Moon Pool is his most relevant work to D&D so it's an obvious read. The copyright status of the Howard and Lovecraft work is ... complicated, but the Gutenberg copies mean you can read a lot of the great Conan stories for free.
A few authors have peripheral early stories in the public domain that I haven't noted here.
Burroughs, Edgar Rice - Pellucidar: At the Earth's Core (Kindle), Pellucidar (Kindle). Mars: A Princess of Mars (Kindle), Gods of Mars (Kindle), Warlord of Mars (Kindle), Thuvia, Maid of Mars (Kindle), Chessmen of Mars (Kindle)
Dunsany, Lord - Fifty-One Tales (Kindle), The Book of Wonder (Kindle), The Gods of Pegana (Kindle), The Sword of Welleran and Other Stories (Kindle)
Howard, Robert E. - The Hour of the Dragon, Gods of the North, Beyond the Black River, Red Nails (Kindle), A Witch Shall Be Born, The Hyborian Age, The People of the Black Circle, Queen of the Black Coast, The Devil in Iron, Shadows in Zamboula, Shadows in the Moonlight, Jewels of Gwalhur.
Lovecraft, H.P. - Not on Project Gutenberg, but his works are available online here.
Merritt, A. - The Moon Pool (Kindle), The Metal Monster (Kindle)
Norton, A - Author page at Gutenberg and Amazon
Weinbaum, Stanley - A Martian Odyssey (Kindle), Pygmalion's Spectacles (Kindle), Valley of Dreams (Kindle), The Worlds of If (Kindle), The Ideal (Kindle), The Point of View
Wellman, Manly Wade - The Devil's Asteroid (Kindle), The Golgotha Dancers (Kindle)