"The Rats in the Walls" and "The Hound" are stories that were good and creepy. "The Shadow Out of Time" was very interesting.
I think Lovecraft is great - but he did not write the scariest horror.......
As far as what horror had the most impact on me, one writer is Steven King.
I read "Salem's Lot" back when I was in high school, I recall the letter Barlow left his opponents and how he addressed each one individually - that creeped me out, as did the part in "It" when the kids were looking at an old Black and White photo that contained Pennywise - and the photo came to life - that was also chilling. I remember how when I read Salem's lot, and King describes the Aurora Plastic models - I could relate (FPW wrote about this in an essay about King). I had the models. I read Famous Monsters (and Starlog and Fangoria).
King and Lovecraft have a great body of work, but...
I envy anyone who has not yet read "The Keep". Reading that book - alone in the wee hours of the morning - is incomparable. It is the only novel I have ever evangelized ( at least a dozen friends and family have read it based on my strong recommendations) family members who do not normally read horror enjoyed it. And, of course, I read "The Tomb" because of it.