Red As Blood, Or Tales From The Sisters Grimmer by Tanith Lee
A collection of fairy tales that will make you shiver in the night. My favorite is "The Golden Rope".
Midnight Blue - The Sonja Blue Collection by Nancy Collins
This is my absolute favorite in all of the many vampire representations I have read, seen or heard.
I Shudder At Your Touch (And the sequel, Shudder Again)- 22 Tales of Sex and Horror edited by Michele Slung
Writing by some of the best names in the business...these will make your skin crawl.
Phantom by Susan Kay
Kay takes poetic license with the original Phantom of the Opera, exploring the childhood and events that can twist a man into a monster.
The Anita Blake series by Laurell K. Hamilton
Anita starts out as a necromancer with the average zombie raising powers, but that doesn't last long. As an aid to the police in supernatural investigations, Anita gains greater and greater power, and two boyfriends: Jean-Claude, a vampire, and Richard, a werewolf. The characters are captivating, and there's plenty of action in every book. Her next novel is due out at the end of the year, and I eagerly await it.
There will be more to come, but these are among the absolute best in my vast library. If you have suggestions for more, please send them to me.