As many people have already said, H. P. Lovecraft is very good. Most horror authors, including Stephen King, were influenced by him.
Otherwise, The Dresden Files by Jim Butcher are fantastic. Definitely one of my favorites. An exciting and fun read.
I also really enjoy John C. Wright. His stuff is kind of hard to find, but I just picked up The Last Guardian of Everness and it is great. Wright has a unique and interesting style and, while not strictly horror, the characters do travel into the dream realm where the island of prisoners in particular was reminiscent of a horror story.