The Willows, Algernon Blackwood. This tale is long, but is one of the absolute classics in the genre of “cosmic horror”, and one of the major inspirations for H.P. Lovecraft’s work. Two men, canoeing down an isolated stretch of the Danube, escape rising flood waters by sheltering on a small island on the river. They soon realize, though, that they have stumbled within reach of beings from outside of time and space — beings that threaten their lives, sanity and souls.
Number 13, M.R. James. A visitor to Viborg decides to lodge at the Golden Lion, and chooses to stay in room 12, which has a lovely view of the street. At night, however, his room seems smaller, and on the building across the street he can see shadows of the occupants of room 13 — a room which doesn’t exist during the day…
The Shadows on the Wall, Mary Wilkins Freeman. A story of domestic horror. A family struggling to recover from a terrible tragedy finds their efforts hindered, and haunted, by the presence of a shadow on the wall without a source.
Mysterious Maisie, Wirt Gerrare. A very unsettling story about a woman who takes a job as a maid but finds herself a prisoner of a cult-like group that have unpleasant plans for her. These plans involve a mysterious visitor to the home who seems not quite human… (Only available through archive.org; you can download the story collection or read it online at the link.)
The People of the Pit, A. Merritt. Explorers of the northern Alaskan wilderness happen across a man who has crawled until his hands are little more than ragged stumps! He tells a story of a deep pit, a lost city within it… and the people of the pit.