Terror by Night
by Ambrose Bierce
sound great to me. Very cheap and a good way to start.
If you like him there is the complete collection for 10 pounds. Fried Egg
Le Fanu's In a Glass Darkly
might not be the best collection when you want to collect a fav author. But it has his most classic stories like Carmillia and several other rated ones.
Its the best book i got from this series along with Poe collection.