I don't read deliberate 'horror' stories. (Just read the news!) But one of the best books I've ever read (and re-read) that has genuinely scary stories in it is Bluenose Ghosts, by Helen Creighton. "Bluenose" is a way to refer to Nova Scotians, and these stories all take place there. They contain many different kinds of scary stories, such as: 'forerunners'—people who see visions or receive supernatural messages about people who have just died or who are going to die soon; ghosts of pirates who were deliberately killed by other pirates and left to guard buried treasure (which is supposedly still around in Nova Scotia). Some of these stories are legends passed down over the years, bu some are really creepy stories told to the collector by the folks who actually experienced them. The matter-of-fact tone Ms Creighton take when relating these stories only adds to the creepiness, somehow. In ways that fiction can't match, these stories are 'real.'
Stephen kings books make me pretty uncomfortable, also the picture of dorian grey has that kind of effect. But I dont usually read to be scared.