When I was at school, the Pan Book of Horror series was all the rage. The later books were full of crudely sadistic stories that disgusted rather than horrified, but this facsimile of the very first one is full of tales both creepy and pleasurable.
Hester Holland's "The Library" is heavily gothic and one can see the ending coming a mile off – yet when it comes, it's surprisingly shocking and leaves one with an image that lingers.
If you suffer even mild vertigo, you'll read Jack Finney's "Contents of the Dead Man's Pocket" with bated breath. CS Forester's "The Physiology of Pain" is a scary fable set in Nazi Germany. LP Hartley's "WS" is a brilliantly surreal tale, let down by a silly ending. And Hamilton Macallister's "The Lady Who Didn't Waste Words" and Chris Massie's "A Fragment of Fact" are both superb examples of the "strange story" genre.
To be read by a crackling fire and the lights of the Christmas tree.