"La Morte Amoreuse": Theophile Gautier "The Red Room": H.G. Wells "The Phantom Rickshaw": Rudyard Kipling "The Roll-Call of the Reef": A.T. Quiller-Couch "The House and the Brain": Edward Bulwer-Lytton "The Dream-Woman": Wilkie Collins "Green Branches": Fiona Macleod "A Bewitched Ship": W. Clark Russell "The Signal-Man": Charles Dickens "The Four-Fifteen Express": Amelia B. Edwards "Our Last Walk": Hugh Conway "Thrawn Janet": Robert Louis Stevenson "A Christmas Carol": Charles Dickens "The Spectre Bridegroom": Washington Irving "The Mysterious Sketch": Erckmann-Chatrian "Mr. Higginbotham's Catastrophe": Nathaniel Hawthorne "The White Old Maid": Nathaniel Hawthorne "Wandering Willie's Tale": Sire Walter Scott
Turn of the (20th) century horror is my favorite because it derives its power from directly questioning, bending, and permeating the membrane of safety we accept as reality based on our senses and perceptions and how we interpret them. This kind of writing doesn't veer toward contemporary shocks like gore, and physical threat, it instead goes directly for the vulnerable, child-self mind which "senses" threat but can't put words to it. Some of the most frightening stories explore common odd feelings we all experience: bleed-through of consciousness from dreams to waking; guilt given a ghostly presence; when houses seem to have consciousness; and violations of rules of time, death and animate/inanimate. In particular, I recommend "The House and the Brain" by Lord Edward Bulwer-Lytton, "The Roll-Call of the Deep", by A.T. Quiller-Couch, and "The Phantom Rickshaw" by Rudyard Kipling.