The Yellow Mythos is a loosely-linked set of fictional stories revolving around "The King In Yellow", a fictional play that supposedly can send its readers insane or open a gateway for supernatural events. The core work is The King In Yellow, a book by Robert W. Chambers. Chambers drew ideas from a couple of short stories by Ambrose Bierce, and many other writers have since drawn inspiration from him in turn.
If you are not familiar with the Mythos, it is recommended that you visit this wiki's page on The King In Yellow (disambiguation) in order to clarify the various things that the titular term can refer to – book, play, character etc. – in reality and fiction. For example, the fictional play does not actually exist (although there have been reconstructions inspired by the hints dropped by Chambers), but in entries on this site may be described as if it is real. By paying a little attention to what is being discussed, it should be quite easy to discern what is real and what is fiction - in particular, if in doubt, check the category tags at the bottom of the page..
The Mythos is not a cohesive entity – although many themes recur frequently and all the stories are inspired to some extent by Chambers' work, they often disagree upon the details. Although not all, many of the stories overlap with the wider Cthulhu Mythos – there is some disagreement about whether this link is a good thing or not! See also Mythos (Definition).
A reader new to the Mythos should sample Chambers' book to gain an insight into where it all began – but, even if his writing is not for you, that is not a reason to give up on the entire Mythos if the hints in it appeal as there are many other stories, of many different types, to sample.
The stories of Bierce and Chambers can be found in several formats, the best and cheapest option (in the UK at least) being the editions released by Wordsworth Editions and available from good bookshops or from Amazon.co.uk for £2.99 or less.
For further reading, The Hastur Cycle has some key stories (although it also wanders into largely-unrelated territory for half the volume) and Rehearsals for Oblivion (Act I) has a fine variety of stories and poems related to the Mythos. Both are available from Amazon, although the former is only available second-hand. In addition, the King In Yellow Anthology by Atlantean Publishing has a wealth of fiction, poetry and conjecture, if you don't mind small press publications.
For more information on the Mythos, a good place to start are the pages listed under the Lexicon category below, which detail a few key concepts.