For modern horror with a relatively normal narrator/cast of characters I prefer as transparent a prose style as possible. The horror, in such cases, stems from gradual incursions of the strange, the supernatural or the horrific into the world, and to draw too much attention to the writing itself can detract from the immersion and sense of normalcy that is vital to setting up the horror in the first place. TED Klein, Jonathan Carroll, perhaps late Fritz Leiber would be my picks.
MR James of course would qualify here, were it not for the fact that he wrote at the beginning of the century and thus detaches himself from the modern reader with certain antiquated turns of phrase. As it is he's still worthy of study. His works are masterpieces of concision, careful hints and well-sketched out locales.
For horror which involves a warped or unbalanced narrator the story can benefit from a stylistic approach that in some way draws attention to the nature of the protagonist or of the world in which he/she lives. Notable names would be Poe, Kafka, S. Jackson and Ligotti, though there are quite a few writers not necessarily linked to horror who are also very good at this.
Likewise horror which takes place in a secondary-world setting or a cultural or historical period sufficiently unfamiliar to the reader can adopt a more stylized approach, that being dependent on what elements the writer wants to focus on. CA Smith at his best springs to mind. Bradbury too, though it's more in his approach to telling the tale, like a dark childhood dream, rather than his settings/characters that he deviates.
Some writers fall in the middle. Robert Aickman is a writer who combines both a relatively transparent prose style with certain odd turns of phrase, word choices, repetitions etc that let you know from the off that something isn't right. Another skillful writer in this vein is Daphne du Maurier.
For horror writers who wish to evoke a sense of the numinous and the awesome, I think a certain poetic intensity coupled with a lightness of touch are necessary. Blackwood and Machen were superb at this when they got it right. Lovecraft to a lesser extent, though his writing tended to be a little too flawed and ham-handed for me to rank him alongside those two on a purely stylistic basis.
Borges, Bowles, Dunsany and Schulz all included elements of horror in their works which I think are worthy of study, even if they themselves are not known to be writers of the genre. They were all capable, through careful word choices or abrupt changes of tone, of shocking the reader,even in some cases repulsing him, as Bowles did to me on several occasions with his razor-sharp style and almost alien lack of compassion for his characters.