The following list is from the Horror Writers Association Web site. It's a "Best Of" list compiled from a survey of members back in 1996. It's a bit dated, but I see more than a few titles below that I've missed.
If you're still looking for good horror, you can check out the
Stoker Awards for a list of nominees and winners going back to 1987.
Enjoy!
Best Ghost stories of Algernon Blackwood
The Exorcist by William Peter Blatty
Something Wicked This Way Comes by Ray Bradbury
Lost Souls by Poppy Z. Brite
The Hungry Moon by Ramsey Campbell
The Between by Tananarive Due
Darklands by Dennis Etchison
Raven by Charles L Grant
Dead in the Water by Nancy Holder
The Haunting of Hill House by Shirley Jackson
The Lottery and Other Stories by Shirley Jackson
Turn of the Screw by Henry James
The Ghost Stories of M.R. James
Dr. Adder by K.W. Jeter
The Metamorphosis and Other Stories by Franz Kafka
Pet Semetary by Stephen King
The Shining by Stephen King
The Stand by Stephen King
Skin by Kathe Koja
Dark Dance by Tanith Lee
Conjure Wife by Fritz Leiber
Rosemary's Baby by Ira Levin
Songs of a Dead Dreamer by Thomas Ligotti
Lovers Living, Lovers Dead by Richard Lortz
The Dunwich Horror and Others by H.P. Lovecraft
At the Mountains of Madness by H.P. Lovecraft
The Hill of Dreams by Arthur Machen
Tales of Horror and the Supernatural by Arthur Machen
Sineater by Elizabeth Massie
I Am Legend by Richard Matheson
Relic by Douglas Preston and Lincoln Child
Frankenstein by Mary Shelley
Book of the Dead edited by John Skipp and Craig Spector
Ghoul by Michael Slade
Vampire Junction by S.P. Somtow
The Strange Case of Dr. Jekyll and Mr. Hyde by Robert Louis Stevenson
Dracula by Bram Stoker
Some of Your Blood by Theodore Sturgeon
Phantom by Thomas Tessier
Sacrifice by Andrew Vachss