Yeah, I know Halloween is still a couple of months away, but I'm trying to get in an autumnal state of mind. My picks:
"The Willows," by Algernon Blackwood. I read this in bed late one night while a tropical storm was passing through. Creepier than anything Lovecraft ever wrote, though it was a big influence on his writing. Best read late at night when everyone else has gone to bed and all the lights but one are out. Available here.
"The Great God Pan," by Arthur Machen. Again, big influence on HPL, but much better written. (IRONY ALERT: The story isn't in this collection, but it can be readily found online.)
Finally, one of the creepiest things I remember reading was not a short story or a book, per se, but a section from an SF novel: the chapter in Gene Wolfe's Sword of the Lictor involving the farmhouse under assault from the alien Alzabo, a hulking predator that absorbs the memories and personalities of its victims.