I have two, the Knickerbocker Classics & Barnes & Noble Collectible Edition. Both are good. But I like the B&N one better for the annotations by S.T. Joshi and it's a more complete collection then Knickerbocker one.

EDIT: If you're going to get the B&N get the 2011 edition (purple ribbon bookmark one). Because the 2008 version (gold bookmark) haves a ton of typos and spelling errors.