Julia: That's an interesting point about the combination of Dunwich and Innsmouth (which I would not have known, seeing as I always play all-in games). Based on that, I will second Julia's opinion that you should get Kingsport before Innsmouth (unless you're aching for a massive difficulty spike).
As to the small boxes: I'm still torn about whether to give a recommendation for either the King or the Pharaoh. Like I said, they both have theme and cool encounters. Otherwise, the only thing KiY has going for it is the Herald. CotDP has a whole bunch of other stuff, but a lackluster Herald. So, I suppose I'll just reiterate my initial statement: if you're really interested in Heralds, get King in Yellow. Otherwise, get Curse of the Dark Pharaoh.