Well, as with anything else, it depends on what you're looking for.
Groff Conklin edited a book called
Science Fiction Terror Tales (1955), which runs the gamut from the Fredric Brown classic "Arena" to the quiet, subtle "Flies", by Isaac Asimov, or from the pulpish (but quite nastily effective) "Microscopic Giants" by Paul Ernst to the almost lyrical but terrifying "Let Me Live in a House", by Chad Oliver. It's not terribly easy to find these days, but does show up occasionally, for very low prices. Here's the Wiki article on this one:
Science Fiction Terror Tales - Wikipedia, the free encyclopedia
While not exclusively horror, Jim Wynorski's 1981 anthology,
They Came From Outer Space does contain a fair number of classic sf tales which became sf horror films:
Amazon.com: They Came from Outer Space: 12 Classic Science Fiction Tales That Became Major Motion Pictures (9780385185028): Jim Wynorski, Ray Bradbury: Books
Forrest J Ackerman also edited some sf anthologies which included sf horror tales:
Forrest J Ackerman - Wikipedia, the free encyclopedia
And, of course, a fair number of Lovecraft's tales are a blending of science fiction and horror:
At the Mountains of Madness, "The Shadow Over Innsmouth", "The Shadow Out of Time", "Through the Gales of the Silver Key", "The Dreams in the Witch House", "The Whisperer in Darkness", "Beyond the Wall of Sleep", "The Call of Cthulhu", "The Challenge from Beyond" (written with A. Merritt, C. L. Moore, Robert E. Howard, and Frank Belknap Long); "The Colour Out of Space", "From Beyond", "Herbert West -- Reanimator", "Hypnos", "In the Walls of Eryx" (written with Kenneth J. Sterling)....
Then there are the books listed in this little bit:
Gothic science fiction - Wikipedia, the free encyclopedia
There are also the "straight" sf stories which are chilling or terrifying in their visions of the future as well: "With Folded Hands", by Jack Williamson, for example...
Quite a few stories by Ray Bradbury would fit the bill as well, whether in
The Martian Chronicles,
S is for Space,
R is for Rocket,
I Sing the Body Electric, or numerous other collections (as well as a novel or two); Richard Matheson has blent the two quite often as well...
Hell House, a story about a haunted house, is also a science fiction tale in its own way, while
I Am Legend is certainly science fiction horror, as is
The Shrinking Man, as well as quite a few of his stories in the
Shock! series or
The Shores of Space...
Also a number of Harlan Ellison's stories blend the two very well; you might especially want to look up the collection
Deathbird Stories....
These are the ones which come to mind right off, but there may be others lurking there which haven't quite kicked in....