A Scandal in Bohemia by Arthur Conan Doyle.

Not horror, but Sherlock Holmes is always a good time. I'm not sure how many of these I have read over the years, but it would have to be at least half. Everyone should at least read Hound of the Baskervilles, Doyle does a pretty good job of conveying some creepiness in this one, especially when out on the moors.