Hey all, I picked up Arkham Horror for Christmas, played it once or twice, and loved it, but I have one or two quick questions.

This might be in the rulebook, but I'm notoriously bad at finding things: If an investigator is in another dimension (say Yuggoth) when the only gate to Yuggoth in Arkham is closed, what happens? We played that the investigator got lost in time and space, but I just want to double check.

And could anyone recommend an expansion, if I was going to get just one?

Yep, you played it right. If an investigator should return to arkham and there is no gate matching the world he/she came from, then he is lost in time and space.

As for what expansion to get if you were to only buy one of them, I would probably suggest Dunwich Horror. I haven't got Kingsport Horror to compare the two big board expansions, but I would recommend Dunwich over any of the smaller expansions. It adds so much to the game that I now use no matter what expansion is being played, like Injury & Madness cards, new Location cards that seem to balance out what should appear in encounters and what actually was appearing in base AH, Gate Bursts, some decent new investigators, new items, spells, uniques and skills and the list goes on.

Based on my survey, Dunwich is the fan favorite.  If you get a small box, most agree on King In Yellow.

The rest of the results are here: http://www.boardgamegeek.com/geeklist/37812

I have to agree, Dunwitch is the "better" big box expansion and King in Yellow is the better small box expansion.  Howver all of the expansions bring some very nice stuff to the table.  In general I would say that the small box expansions and Dunwitch generally increase the difficulty, while Kingsport reduces teh difficulty slightly.  They all add quite a bit of replay value to the base game, which already has a ton of replay value.