As for supernatural short stories that pack a punch (usually delivered in a deceptively mild manner), I'd also like to suggest "How Love Came to Professor Guildea", by Robert S. Hichens:
How love came to Professor Guildea (1900) by Robert Hichens
which has one of the most frightening hauntings conceivable, I think, and "Lukundoo" by Edward Lucas White:
http://www.horrormasters.com/Text/a1499.pdf
is quite genuinely a nightmare -- as were several of White's stories.