Things that go bump in the night
The latter two are long out of print, but they're well worth getting (try Amazon or Ebay) if you want a great introduction to the best of spooky short story writing. 65 great tales of the supernatural is edited by Mary Danby, a noted ghost story writer herself, she also edited a series of ghost story books for children. Her skill as an editor can be seen here as the selection is admirable. They span everything from the out-and-out comic tale (with 3 brilliant tales by Mark Twain, Saki, and Pamela Hansford-Johnson (one of the best tales in the book from an author who I've never come across elsewhere)), the downright eerie, right through to supernatural horror.
The mix of writers is very interesting too. All the usual classic suspects are here : M.R. James, H.P. Lovecraft, Sheridan Le Fanu, Poe, there's also an interesting selection of stories from writers who are principally known from writing in other genres. There is a particularly effective tale from Edith Wharton which is told with great panache, a grisly tale of grave-robbing from Robert Louis Stevenson, alongside a surprise appearance from E. Nesbit of Railway children fame. There are also a large number of tales from writers who I've never come across elsewhere. Some of them definitely deserve more notice. Among these are the very creepy tale of a serial killer with an unusual modus operandi by Bernard Taylor, Roger Malisson's Wicker Man inspired story, and Nigel Kneale's short story Minuke, which could give The Amytiville Horror a run for its money.
If you like ghost stories, these are well worth getting your hands on. If you're new to the genre they're a great introduction setting out some of the best stories around. If you're an old hand, there will be something new to discover here. All you need is a warm fire, and a dark and stormy night. Prepare to be pleasurably scared.