I’m not a big horror fan, so there are only six here:
1) “The Yellow Wallpaper”, Charlotte Perkins Gilman
Classic psychological horror piece. My favorite thing about it is that the reader never knows if it is a story about a supernatural event or about a woman’s descent into madness.
2) Our Lady of Darkness, Fritz Leiber
A classic, IMO, of urban horror based on the idea of dark supernatural beings, almost god-like, either drawn to or created by our cities. Leiber mixes archetype theory and “megapolismancy” (predicting and manipulating the future through large cities). Very influenced by Leiber’s friendship with H.P. Lovecraft.
3) The Doom That Came to Sarnath and Other Stories, HP Lovecraft
Classic Lovecraftian mythos stories from 1971 to 1924 for the most part, all representative of his particular brand of horror.
4) “The Masque of the Red Death”, Edgar Allan Poe
Poe’s take on the concept of the Decameron, in its own way. Wealthy sybarites hide themselves away in a party as death comes to take each of them.
5) Darker Than You Think, Jack Williamson
This 1948 werewolf-vampire novel presents an excellent example of the psychological and psychic projection werewolf. It is also heavily influenced by Williamson’s own (negative) experiences as a patient of Freudian psychoanalysts. A more detailed analysis of the novel appears in my werewolf book (see links above).
6) Tales from the Sinister City, F.E. Higgins
I’ve tried to describe this series many times to many people. Starting with The Black Book of Secrets, most of the series is written not as sequels but parallel to each other in time. The best description I’ve come up with is Charles Dickens meets E.A. Poe. (Irish author)