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We're coming up on Hallowe'en, so here are 50 of the Scariest Short Stories of All Time, or so they claim. Here are some classics from the list you can read online or download:
The Dunwich Horror, by H.P. Lovecraft (I would have preferred The Shadow over Innsmouth, but this one is good, too)
The Monkey's Paw, by W.W. Jacobs (be careful what you wish for)
The Lottery, (the all-time classic) by Shirley Jackson
The Babysitter, by Robert Coover
Lukundoo, Edward Lucas White
The Landlady, Roald Dahl
Rappaccini's Daughter, Nathaniel Hawthorne
The Willows, Algernon Blackwood (said to be one of Lovecraft's favorites)
Pigeons from Hell, Robert E. Howard (Stephen King called this "one of the finest horror stories of our century.")
Lots of others at the link, but these should hold you for a while.