This thread doesn’t need me – all these suggestions are great. 
Daniel, did you hear that Ellen Datlow just won another Locus award for best editor? Stephen Jones’s collections are worth reading too. I think they’re called “Best New Horror”.
I just read The Anubis Gates by Tim Powers. It’s probably classified as SF, but there are horror elements. I’m getting to where that’s what I want – bits of horror, unexpected. Straight horror has become too explicitly gory, at the expense of building tension and telling a good story.
More suggestions:
The Heart-Shaped Box and 20th Century Ghosts by Joe Hill
Armageddon Rag (rock 'n roll and demons) and Fevre Dream (vampires) by George R. R. Martin
I haven’t read Robert McCammon for awhile, but if you haven’t read a lot of horror, his stuff might work for a newbie. The Wolf’s Hour (werewolves and Nazis), They Thirst (vampires), The Night Boat (ghosts), Bethany’s Sin (witches? I can’t remember), Baal (old-style demons). Oh! Stinger – read Stinger if you read nothing else by him.
Anything by John Farris, who’s already been mentioned, especially Son of the Endless Night and All Heads Turn When the Hunt Goes By.
This is turning into a long list – sorry!
Thomas Tryon – The Other and Harvest Home
T.E.D. Klein – The Ceremonies
Dan Simmons – Summer of Night, Song of Kali, Carrion Comfort
Peter Straub – pretty much anything, including the two newer ones – In the Night Room and lost boy lost girl. I recently re-read Floating Dragon and it was cheesier than I remember, but it’s pretty good.
Terry Wright sometimes known as T. M. Wright – Manhattan Ghost Story, Eyes of the Carp (silly title, great little psychological horror story)