I'm going to add in two recommendations of my own...
Any collected work of M.R. James. HP Lovecraft and Clark Ashton Smith were great fans of his. Quite possibly the master of the turn of the century ghost story (18th/19th centuries, that is).
The Scar by China Mieville. Crazy name, crazy guy. Anything with massive amounts of steam-punk, bio-magickal weapons, Lovecraftian monsters, transdimensional spiders and a wild trek across open ocean to a place of utter non-placeness has got to be cool.