There are dozens of horror magazines out there, usually small press. Your best bet is to try them, starting with the one that pays the best. Some are hard copy, but many are electronic.
These are the best place to start, since you can use the reputation of the magazine to bolster yours.
If you start to publish, then you can produce a chapbook (though it is better if you can find a publisher to do it for you) then promote it wherever you can. Chapbooks are better than electronic versions, since you can sell them right then and there – if you don’t have something to hand out, the potential buyer is not likely to buy it.
You’d also have to spend a lot of time on your Facebook, Twitter, and other social media accounts to promote yourself.
e-publishing makes it easy to have the book available, but it’s a bitch to get anyone to buy it. Think about it: how many ebooks have you paid money for from a writer who you never heard of and never met? Yes, you can give them away, but that’s not likely to build a career. (Note that with any method, a very small percentage of authors will succeed – but it’s the difference between a 10% chance of success and a one in a million chance.)
For pricing, Amazon has set percentages it wants from each ebook they sell. You can adjust the price (up to their rather arbitrary top price) as needed. Personally, I’d be torn between using Amazon or a website – you’ll do better per sale on a website, but it’s harder for people to find it.
E-pubbing one story at a time is a sure road to failure, though. It’d be hard to get others to read it (they may download it if it’s free, but aren’t likely to read word of it). It’s extremely likely to build readership and a fan base.
The best route is to publish in magazines, build a reputation, write a novel (short story collections don’t usually sell), and find a commercial or small press publisher to publish it. Luckily, horror publishing is still thriving.