POSSIBLY MY FAVOURITE BOOK OF HORROR SHORT STORIES IS "HAUNTINGS" edited by Henry Mazzeo. This is a book that my mother had since I was a wee little apparition and she read to me from it when I was a child (explains a LOT, don't it?!?!). Not only are the story selections some of the best but the illustrations are by none other than the master of gothic macabre Edward Gorey. This would probably be my first choice of reading on a dark Halloween night.
The book starts off with one of my favourite scary stories of all time: August Derleth's "The Lonesome Place". This one really got me as a kid because it's ABOUT a kid who simply KNOWS there's a horrible monster way back there in the dark of a dead end alley. Some neighborhood kids have gone missing and ended up dead; naturally the young narrator of the story is sent to the store by his mother RIGHT PAST THE THREATENING ALLEY after dark!!! August Derleth, disciple of H.P. Lovecraft, has never held that much interest to me as a writer but this one story is a classic!
"HAUNTINGS" also contains classics like Robert Bloch's "The Man Who Collected Poe" (filmed as a segment of the Amicus horror film "TORTURE GARDEN" starring Peter Cushing and Jack Palance), "Lot No. 249" by Sir Arthur Conan Doyle (possibly the best Mummy short story ever -- ALSO filmed as part of the 1990 "Tales From the Darkside: The Movie" starring Christian Slater and Steve Buscemi with somewhat less success) and John Collier's "Thus I Refute Beelzy". Every story in this collection is a good read and many are classics of horror fiction. It is, naturally, long out of print but can probably be found online or through an out-of-print book service.