G.C.: You might take a look at the "Classic Horror" threads for some suggestions; or, since you already said you enjoyed Lovecraft, take a gander at his
Supernatural Horror in Literature essay for suggestions -- though, unless you're into late 18th- early 19th-century novels, I'd skip a fair amount of the things up to Le Fanu as listed there. (On the other hand, if you aren't put off by such older material, he has some wonderful suggestions in there....)
SUPERNATURAL HORROR IN LITERATURE (1927, 1933 - 1935) by H.P. Lovecraft
Works Referenced in Supernatural Horror In Literature by H. P. Lovecraft
I'd also suggest Robert S. Hichens, especially "How Love Came to Professor Guildea":
http://www.horrormasters.com/Text/a0734.pdf
and Oliver Onions' "The Beckoning Fair One" (for that matter, the entire collection
Widdershins):
http://www.horrormasters.com/SS_Col_Onions1.htm
Newer horror: I'd strongly suggest Thomas Ligotti, Ramsey Campbell (at least, a fair smattering, though he can be quite disturbing), T. E. D. Klein (despite Nesa's good points about "Black Man with a Horn", as in all other ways the story is a gem; quiet, understated, and grows on repeated readings... whereas the rest of his work doesn't even have that caveat), Dan Simmons (especially
Carrion Comfort and
Lovedeath), China Mieville, and Caitlin R. Kiernan (though I have some trouble with some of her stylistic preferences here and there -- nonetheless, for weaving an eerie, nightmarish atmosphere, she is very good indeed). And of course there's Richard Matheson, as well...
As for why I like horror
films.... well, I'm not a big fan of most modern horror film -- especially as done by Hollywood; though there are quite a few exceptions. I'm not into gore, slashers
qua slashers, etc., but like something which gives me that
frisson of the fabric of reality wearing thin, if you will... a sense of the unknown just beyond vision (Robert Wise's film of
The Haunting being an excellent example, as are Val Lewton's films... and quite a few things coming over from Asia, Spain, Mexico, etc.) I like things that unsettle, that are creative, that stretch the mind and touch on that Burkean sense of the sublime.... And, of course, I have my favorite older horror films, such as the old Universal films, because these are old friends (they formed
my Mother Goose, one might say....)