I have been a Stephen King fanatic since I was a sophomore in high school. Love all his books but especially his collections of short stories.
That said, the first book that made me afraid to be home reading it by myself (and this was over 20 years ago ) was "Lightening" by Dean Koontz. I know his recent stuff is commercial crap but that book was terrifying.
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We Have Always Lived in the Castle is pretty horrifying, too, for different reasons. I can re-read The Haunting of Hill House, but not the other one. HHH is scary, but deliciously scary. The other one is scary and disturbing because it doesn't involve the supernatural, just really, really messed up people...
I had forgotten about Lightening. That was another book I read years ago that was so intense I can remember where I was when I read it, and I loved it. I have never liked anything else written by Koontz.
If you like King, try his story "A Good Marriage" in his Full Dark, No Stars collection. No supernatural elements but packs a brutal wallop (with great characterization). See also "Big Driver" from the same book.
Those are both excellent stories, probably the 2 best short-fiction stories I've read in years.
King's short story collections are great. One of the creepier that comes to mind is Crouch End from Nightmares and Dreamscapes. Also Grey Matter, the 10 o'clock People and Quitters Inc. The Breathing Method was wonderful too (not scary, but a great story). Of course, the Mist and the Monkey were frightening too. Too many good ones to list them all.
I also think Lovecraft is wonderful and eerie. Just started a short story collection by Robert Bloch that looks promising.
The very existence of flamethrowers proves that sometime, somewhere, someone said to themselves, "You know, I want to set those people on fire, but I'm just not close enough to get the job done".
The first night I read this I couldn't even sleep. It's a series online. It's being made into a published book now. Don't stop after reading the first as several of the others are scarier. Just thinking about it made me turn the tv on....
SHIRLEY JACKSON!!! Sorry, but the many posts about The Haunting Of Hill House and We Have Always Lived At The Castle didn't mention her name and she definitely had some of the best horror stories of the 20th century. Ray Bradbury, though more commonly associated with scifi and soft fantasy, has some horrifying short stories in the scifi/fantasy vein.
One of Stephen King's sons is also a horror writer under the name Joe Hill. His short story collection, 20th Century Ghosts, is good.
The Woman In Black (Susan Hill) is much better than the movie.
Another recommendation for Swan Song. I re-read it recently and it held up over the 20 years since I first read it. Post nuclear attack saga with some seriously creepy stuff and characters you can really root for.
The horror genre seems pretty weak in recent years, or maybe I just haven't been looking for them.
If you believe everything you read, better not read. -- Japanese Proverb
Anyone who is a fan of Lovecraft or just creepy stories in general should check out Algernon Blackwood's novella, The Wendigo. His short story, "The Willows", is also excellent. Both are out of copyright so you can find free versions on sites like Project Gutenberg.