Well, for those interested in the classics of the genre, I'd suggest first reading HPL's little book Supernatural Horror in Literature, which is available in multiple editions, the best being the annotated version edited by S. T. Joshi, which supplies bibliographical information on most of the items mentioned, as well as giving tons of other information that may prove useful.
Also, several of the small presses and pod publishers are now reviving a lot of the classics that haven't seen print in decades, sometimes in a century or more. Wildside Press is reprinting some of Bulwer-Lytton's work, for those interested (he can be a bit arid for modern tastes, so a word of caution), as well as several by Ainsworth. Frederick Marryat's The Phantom Ship is back in print, being one of the best handlings of the tale of the Flying Dutchman. And there's a volume collecting together all of John Buchan's supernatural short tales, which were scattered throughout all his story collections, simply titled Supernatural Tales (originally published as Best Supernatural Tales, the original edition is quite pricey on the collector's market).
While most are currently out of print, there's some attempts to revive some of the ghostly tales of H. Russell Wakefield as well... in fact, if you've got the money, Ash-Tree Press has reprinted his They Return at Evening and Others Who Return (Old Man's Beard), if you can track them down... Chaosium has collected together all the best weird work of Arthur Machen into three volumes; these include not only his better known works, but some of the obscurer pieces, as well as the novels The Terror and The Three Impostors. Chambers' weird tales were edited for Chaosium by S. T. Joshi, in a book called The Yellow Sign and Other Stories (quite a large volume, holding both all the short stories and two or three novels). Joshi has also done three books on the subject of the weird tale: The Weird Tale (covering the works of Algernon Blackwood, Arthur Machen, Ambrose Bierce, M. R. James, Lord Dunsany, and HPL), The Modern Weird Tale (dealing with several more recent writers, such as Ramsey Campbell, Stephen King, T. E. D. Klein, Thomas Ligotti, etc.), and The Evolution of the Weird Tale, dealing with some of the often forgotten masters of the form, such as W. C. Morrow, Edward Lucas White, and (though he's well-remembered in the UK) Arthur Quiller-Couch. He has also edited several volumes of stories in the field, as well as spearheading the revival of some of the lesser-known classics, such as Walter de la Mare's The Return.
And speaking of... Anything by Thomas Ligotti is likely to reward reading, as he is one of the most literate and nightmarishly evocative writers around. Don't expect blood-'n'-guts ... this is a man who deals in nightmares, the shifting of reality so that one forever after sees it anew....
F. Marion Crawford's Wandering Ghosts has now been reissued, with a previously missing story or two, as The Complete Wandering Ghosts. There's suppoed to be a forthcoming one or two volume set of White's best stories... anyone who hasn't read White should try "Lukundoo"... All of Kipling's best supernatural stories have been collected together in various editions, as have Doyle's and Stoker's.... And Matthew Phipps Shiel's weird fiction has been collected together as The House of Sounds (including his novel, The Purple Cloud). There are new volumes of Algernon Blackwood's best coming out, at least one has been issued: Ancient Sorceries and Other Weird Tales.... And there is an edition of the complete short stories of Ambrose Bierce put out by University of Nebraska's Bison press (this includes, of course, a section devoted strictly to his horror tales, as well as ones devoted to his fables and Civil War stories)...
At any rate, these are some of the suggestions that come to mind right off...