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.