I don't know if I'd call Saki a horror writer - most of his work is directly satirical. 'Sredni Vashtar' is an amazing story though, and scared the shit out of me when my Dad read it to me as a kid.
Michael Chabon's short story The Black Mill is a perfect example of a certain type of horror story, reminded me a lot of Lovecraft. Likewise the first chapter of Paul Magus' To the Devil a Diva, if read as a short story.
Eh sorry he has a collection of short stories called Werewolves In Their Youth out...be warned however The Black Mill is the only story with horror leanings.
I like Chabon, and I've considered buying said book in the past, so it looks like I have all the more reason to hand over my readies to the Amazon gang.