The Yellow King bundle contains Pelgrane Press' RPG and assorted material. I believe this is an RPG based on Robert W Chambers' stories, without the subsequent Lovecraftian and Call of Cthulhu RPG additions.

PELG-Y01 The Yellow King RPG ($55)
PELG-Y06 Absinthe in Carcosa ($21) - a giant 192-page handout for players
PELG-Y07 The Missing and the Lost ($6) - a novel
PELG-Y10 The Yellow King Suite ($5) - 6 tracks of ambient music
APU-9001 Annotated King in Yellow ($25) - the original stories with RPG annotations
RDL-001 New Tales of the Yellow Sign ($4) - anthology book

From Pelgrane Press The Yellow King RPG Complete PDF Bundle includes Y01, Y06, Y07 for $70.

$29 for the set seems ok.