Dunwich Horror is an expansion to Arkham Horror 2nd Edition that includes a new game board and expansion-specific components to support a number of new game mechanics, as well as new core-set components to add more depth to the core game. Released in 2006, it was the second expansion, following the Curse of the Dark Pharaoh expansion released earlier that year, but it was the first "big box" expansion, as Curse did not include a new board.
Lurker at the Threshold is the seventh expansion for Arkham Horror 2nd Edition, and was released in July 2010. It is a "small box" expansion, meaning that it does not include a new game board. What it does include are 56 Investigator Cards, 110 Ancient One Cards, 18 new Gate tokens (which replace those normally used), and some new mechanics.
Arkham Horror is a lot more complex that the average board game, and it has a number of situational rules that are easy to forget: rules that don't come up all the time, but that can have a big impact on how the game plays out if you consistently forget them (or misremember them). The rulebook is well-designed, well-written, and does a good job of teaching the game, but these situational rules are scattered throughout it, and the rulebook is thus not the best possible in-game playthrough guide.