Doctor Faustus -Christopher Marlowe
Matthew Gregory Lewis- The Monk (i have a copy i will happily send to you)
Charles Maturin -Melmoth the Wanderer
Robert W. Chambers -The King in Yellow (my copy is missing pages or i'd send it to you too)
William Hope Hodgson -The House on the Borderland
Shirley Jackson -The Haunting of Hill House
John Brunner-The Sheep Look Up
F. Paul Wilson - The Keep
Iain Banks -The Wasp Factory
Dan Simmons -Song of Kali
Clive Barker -The Damnation Game, Books of Blood
But really, in addition to novels, just buy one book to get an overview of short fiction
http://www.amazon.com/Dark-Descent-Clive-Barker/dp/0312862172/ref=pd_bbs_sr_2?ie=UTF8&s=books&qid=1217368947&sr=8-2