I think I remember Slothrop's verdict on HPL and MRJ from ages ago. To my shame I've never read either of the Jameses, so I guess this autumn would be a great time to have a crack at both.
As much as I love Lovecraft, I agree that in general he isn't scary at all. However I do think he's great at creating atmosphere - read 'The Music of Erich Zann' and tell me it isn't powerfully weird (and with nary an extraterrestrial god-monster or half-caste fish-man in sight). I've been massively into Ligotti since droid kindly sent me a whole bundle of ebooks including a ton of his stuff. Pretty much the whole of Grimscribe is superb. I especially liked 'The Shadow at the Bottom of the World', which reminded me a good deal of HPL's 'The Colour out of Space' (his best story by a country mile, in my opinion as well as the author's own).
Anyone else here into Robert Chambers? His short story collection The King in Yellow, especially the first four stories, are essential reading for anyone into cosmic horror and/or fin-de-siecle decadence. They're also crucially important in the backstory to the first series of True Detective (indeed, I believe the book briefly climbed into the bestseller lists as a result of the popularity of the show).
I asked for a book called The Sleep Room by F. R. Tallis for a birthday or Christmas a few years ago pretty much on spec. The premise was hugely promising: a creepy old Victorian sanitarium in deepest darkest Suffolk is repurposed in the 1950s as a facility where a maverick (and perhaps not overly ethics-burdened) psychiatrist is trialling a radical new therapy for horribly disturbed patients that involves keeping them in almost uninterrupted sleep for weeks or months at a time. Of course, the narrator (the prof's young assistant) is left there by himself as the winter nights draw in, and, inevitably, that's when the paranormal shit starts. It builds atmosphere really well in the early part of the book and there's a nice (though not totally unguessable) twist at the end, but in between I felt it didn't quite live up to the potential of such a great premise. There's also a basically inconsequential love interest, which leads to the hilarious scene where, immediately following red-hot sex with this smokin' fine young blonde nurse, the narrator falls into a reverie about the house they're going to set up together in Hampstead, right down to the matching chintz pattern on the sofa and curtains. Um, yeah OK, whatever!
Also: Poe, of course! His stories aren't consistently brilliant but he's got plenty of great ones. A nice touch of romance to some of them (e.g. 'Ligeia'). 'The Casque of Amontillado' is a classic of the non-supernatural conte cruel (short story, often revenge-themed, characterized by gleeful cruelty and gruesome depictions of suffering). The Auguste Dupin tales are cool proto-detective stories with an immediately obvious influence on Conan Doyle.