There is, and can be, no 'official' canon of the Mythos, especially due to the various interpretations of what is a Mythos, but this page will attempt to define some of the ways in which a personal canon can be defined.
What is a Canon?
Canon is an attempt to bring order to a fiction franchise or a shared world by defining what is official. Any fiction that grows large enough, especially when it is written or produced over a very long period of time or involves multiple contributors, will begin to show inconsistencies. Canon is an attempt to define what is correct and what is incorrect – and, if possible, explain the errors or contradictions.
A fictional universe's canon is usually based upon the original, core tales in which its central precepts were formed (in this case, principally Robert Chambers' 1895 short-story collection), together with the generally-accepted 'facts' common to most or all interpretations of its setting. Particularly when any expansions upon or offshoots from the original must be sanctioned by the initial creator or holder of the rights, a defined canon is necessary to maintain a cohesive and consistent, effectively unified whole.
When it comes to establishing canon for the Yellow Mythos, however, it is down to each individual contributor and reader to define their own as not only is there no overall authority to which one can appeal, but the Mythos itself was born out of the borrowing of one man's ideas by another – and their subsequent further borrowings by others, many working independently and with little or no knowledge of one another (for perhaps the greatest divergence, see Darkover). In a sense, the wider Mythos has been 'fanon' – that is, fan-defined canon – from its inception.
The Core Canon
Most people would agree that the stories of Ambrose Bierce and Robert W. Chambers are canon – after all, they started it! This is what we can call the 'core canon'. But, even here, there is dissent! Even though he is the granddaddy of the Mythos, not everyone pays much heed to Bierce (probably because not everyone is aware of his early, few, Mythos-inspiring stories, which lie somewhat removed from the main body of 'Yellow' work ultimately derived from his writings) and, as a result, the benign Hastur of Haita the Shepherd, for example, has little in common with other depictions of the deity ...if Hastur even is a deity! There is also the problem of the nature of Chambers' work – The Repairer of Reputations is the story that most defines the Mythos, yet it is an alternate-history tale (to us at least, having been set in the then-future 1920s when written) that may all just be the hallucinatory ramblings of a madman! Whilst such uncertainty is a common motif of the Mythos, it does little to help us decide what in the story is actually 'real'. So, even the core canon can effectively be ignored if you wish, or, at least, treated as unreliable when desired.
Things get a little more complicated when authors borrow from one another – for example, the way in which the play reconstructed by James Blish in More Light is quoted by other authors, or the way in which The Dream-Leech makes use of the Atheling Family from that same story. It is all very well to decide that More Light is or is not part of your canon – but what about the stories that link to it? Are they all in or all out with it? This is not something that can be objectively decided – it is purely down to personal whim! That is one thing that this wiki will help you with: uncovering the links and influences that you may wish to assess.
Given that the Mythos frequently implies the existence of alternative timelines, unreliable narration due to madness and fraud, it is quite possible to incorporate references to stories without necessarily validating them, to cherry-pick the parts you do like and to outright contradict them as you wish. A good example is More Light: it is strongly hinted that the play in the story is a forgery, albeit one possibly influenced by The King In Yellow, and not the original at all – so your 'real' play might have little or no similarity to it.
There is no overwhelming genre to the Mythos. Although most often associated with horror via its links with The Cthulhu Mythos and frequent insanity affecting its protagonists, many of the stories are not overtly horror – some are not even overtly supernatural. Some fall into the genre of magic realism and some are effectively entirely mundane. Others have taken the Mythos into fantasy and science-fiction.
There is also fiction that is not really part of the Mythos but which borrows elements from it or refers to it in some way. Do you include these in your personal canon?! For example, The Death of Art has elements of the Mythos in it but uses them merely as dressing for a non-Mythos Doctor Who adventure.