I think
Shadow... now goes for a pretty penny, so I imagine you'd be better off buying the latest Sub.Press hardcover than tracking down that volume, although I gather that it's very well respected.
Teatro Grottesco is a collection that has been republished in a cheap edition and is still available in the UK at least, although I've not read it personally - so I can't comment.
My Work Is Not Yet Done is a novella with two short stories and I liked it a lot, although a lot of Ligotti fans seem not to rank it very highly. I guess the omnibus
The Nightmare Factory still represents the best value if you can find a copy at a reasonable price. You could try asking on the Ligotti forums as they'll know their onions on this topic.
Personally, I find Ligotti highly variable, although at his best he very very good indeed in my opinion - unfortunately he seems to pen far too many 'mood' pieces which are a bit samey when read on mass. My preference would be to read
Conspiracy for the Human Race or to make lots of hallucinogenic drugs, sit in a dark room and listen to this...
[
www.youtube.com]
...which I think is a very fine thing indeed.