Before I start, I should mention that you are going to notice a few things about this list that reflect my preferences as a writer. It shouldn't come as a shock on this kind of blog, but I figured I would tell you that all of these stories are classics and most would fit in the horror genre, though they aren't the dripping with gore you would expect from modern horror. So, you have your shot to bugger off (I love Britishisms) if you do not like classic horror.
Oh, I should also note that the free versions I have posted here are current as of today. I have no idea what rights the sites hosting them have to the stories or if the stories are in the public domain, with the exception of Poe, which is certainly public domain. Please let me know if one goes down or if you know it is posted illegally.
"The Lottery" by Shirley Jackson (1948)
I am going to go ahead and start with the lady of the hour. You may know this story, you may not, but Shirley Jackson broke right into what was largely a boy's club with her "The Lottery." This creepy short story is a very quick read and well worth it. I've already reviewed it, if you want to read more about it here. However, I suggest using your reading time taking in the actual story, which you can find here.
"The Black Cat" by Edgar Allan Poe (1845)
I had to refrain from filling this entire post with Poe links as all of his work is available online. (I love you, public domain.) When you follow the link for "The Black Cat," check out the rest of the site, which contains many more stories. I chose this one to highlight for one reason only. It scared the crap out of me when I was a kid. While I am an atheist and I think I always have been, I really wanted to believe in things like ghosts, bad luck, aliens coming to Earth, etc. I like to be scared. Therefore, when I read "The Black Cat," I let it be feasible. That, in turn, led to walls being creepy to me. Count how many walls you see today and imagine what that was like for my very little self. I know . . . awesome. Now, for your reading pleasure, click here for some chills.
"Nightfall" by Isaac Asimov (1941)
"Nightfall," and Asimov's writing in general if we're to be honest, is really cool because it is science fiction horror. This story takes us to another planet where the attributes of the planet itself allow Asimov to explore the heart of man's most innate fear -- the darkness. This is a very well developed story for being of the short story genre. Enjoy it here.
"The Dunwich Horror" by H.P. Lovecraft (1928)
Lovecraft wrote very many great short stories. I chose to add "The Dunwich Horror" for a few reasons. Firstly, it takes place in a fictional town in my home state. Secondly, the name Arkham derives from this story and I'm a Batman fan. Thirdly, it is a great example of the Lovecraftian universe. You will find his famous Necronomicon and Cthulhu here.
"The Gift of the Magi" by O. Henry (1905)
This story is quite different from the others I have posted here, but it struck me so much when I read it as a kid that it has to be one of the best short stories of my lifetime. "The Gift of the Magi" is about family, love and sacrifice. Coming from a large family and focusing a lot of my life on them makes me appreciate the kindness and support those of us who are lucky in family have available to us. Being poor can help you appreciate the story as well. Before I ruin it for you with my lack of literary prowess, go ahead and read O. Henry's masterpiece here.