Well, as Connavar brought it up, and there doesn't seem to be such a thread for horror, may as well start the thing.
The problem with horror is: how far back do you want to go, as this branch of literature stretches back a very long way. So, to eliminate that particular problem, I'll begin by including two links: one to H. P. Lovecraft's essay,
Supernatural Horror in Literature, which remains the best historical guide to the field even today, and the second to an index for the essay with links to no few of the pieces mentioned there:
Supernatural Horror In Literature by H. P. Lovecraft Works Referenced in Supernatural Horror In Literature by H. P. Lovecraft
I'll also add a few recommendations of my own that he either overlooked or didn't particularly care for....
Joseph Sheridan Le Fanu -- especially his ghost stories, but also some of his mystery novels, which have horrific, supernatural, and gruesome elements to many of them, such as
Uncle Silas,
Wylder's Hand, and
The Wyvern Mystery.
Oliver Onions --
Back O' the Moon,
Widdershins,
Ghosts in Daylight,
The Painted Face; or (though incomplete)
The Collected Ghost Stories or
Ghost Stories (the most recent edition of this last has a previously unknown story, "Tragic Casements")... especially recommended (in fact, it may remain the single greatest ghost story in the English language, for sheer artistry) is "The Beckoning Fair One"
Sir Arthur Quiller-Couch ("Q") -- most of his ghostly tales are scattered throughout various collections, such as
Corporal Sam; The White Wolf; News from the Duchy; Two Sides of the Face; Merry-Garden; Noughts and Crosses; The Wandering Heath; Old Fires, Profitable Ghosts;
I Saw Three Ships; and
The Laird's Luck, though several were brought together by S. T. Joshi in
The Horror on the Stair.
Russell Kirk -- A follower of M. R. James, and certainly one of the greatest tellers of the traditional ghost story:
The Surly Sullen Bell,
The Princess of All Lands, and
Watchers at the Strait Gate; more recent editions of his complete ghost stories are:
Off the Sand Road and
What Shadows We Pursue.
Vernon Lee (Violet Paget) -- particularly
Supernatural Tales Charlotte (Mrs. J. H.) Riddell --
Weird Stories, or the more recent
Collected Ghost Stories Amyas Northcote --
In Ghostly Company
and for more modern writers:
Ramsey Campbell -- numerous collections and novels; I'd recommend
The Height of the Scream,
Demons by Daylight,
Dark Companions,
Scared Stiff,
Alone with the Horrors,
Strange Things and Stranger Places,
The Nameless,
Incarnate,
Needing Ghosts,
The Face that Must Die....
T. E. D. Klein --
The Ceremonies (novel) and
Dark Gods (story collection), with the addition of the original story that was the germ of the novel, "The Events at Poroth Farm"