Another one is 'The Monkey's Paw' by W. W. Jacobs. It shows how a simple wish - granting object can bring about terrifying consequences in a very relatable way. It has a great build - up of suspense and a very dark ending.
For beginners, 'The Tell - Tale Heart' by Edgar Allan Poe is a great start. It's short but really intense with the narrator's psychological state being a big part of the horror.
I also recommend 'The Lottery' by Shirley Jackson. Although it may not seem like a typical horror story at first glance, it reveals the horror hidden in human nature and social traditions. The unexpected and cruel ending makes it a must - read in the horror genre.