Here are a few authors to try
Edgar Allen Poe.
China Meiville - try the samples for Perdido Street Station and The Scar and Iron Council. You might like one of them.
Neil Gaiman - American Gods is on sale for $1.99 and it's super good. Hugo Winner.
Search for The Monkey's Paw.
Read some of Saki's short stories (H. H. Munro).
I think there's a Roald Dahl book of ghost stories. It's aimed at a younger audience but it's pretty good for adults too.
Try some of the classics. War of the Worlds and The Time Machine actually have some unexpected things.
The Hound of the Baskervilles.
Try the "Sword of Truth" series by Terry Goodkind - I love them! (It was a series on TV for two seasons as "The Legend of the Seeker.")