Anne, may I ask
why you're getting into horror? Research? Entertainment? Professional development? All three? I've assumed all three, so I'm going to get a bit boffiny here.
I love a well-crafted horror story, but I'm very picky about its composition. I tend to class horror as either psychological, sociological, metaphysical or some mix of these.
Psychological Horror 

I love psychological horror - which I think sits somewhere on the border of suspense/thriller. It's my favourite kind of horror. Good psychological horror serves you up well-crafted characters, sharp dialogue, revealing character arcs and the grisly underbelly of human thought - all enriched with clotted dollops of suspense. My favourites include Thomas Harris'
Silence of the Lambs, and Stephen King's
Misery, plus Roald Dahl in his darker moments. Because it's very dialoguy, psych horror lends itself very well to cinema and/or theatre, so let me also add Hitchcock's
Rear Window to my list.
Sociological Horror 

This is my term to describe horror about how society breaks down or fails to function. If psychological horror is kissin cousin to the thriller, sociological horror often sees a bit more mystery or action. It's by far the least common kind of horror. There are a few good books in this subgenre, and more good movies: Wyndham's
The Midwich Cuckoos, the movie
The Children of the Corn and the original
Stepford Wives, and I believe I'd include Daphne Du Maurier's
The Birds - which is also a great Hitchcock movie, and also
The Wicker Man (see this before you ever go to a
Burning Man festival

). Here I'd also include
Invasion of the Body Snatchers - the original Donald Sutherland movie. Stretching just a little further into the SF realm you have
The Omega Man - which is actually apocalyptic SF with a horror element rather than the Body Snatchers, which I consider the reverse. I'd park
Rosemary's Baby here.
Metaphysical Horror 


Omigosh, this is hit and miss. Most of the really trashy horror finds its home here. Metaphysical horror is the term I use to describe horror about man's relationship with the universe or himself. But there's a lot of crap here, and so I'm very, very picky indeed. The good stuff has great themes and concepts; the atrocious stuff merely has graphic
imagery. The cinema has a lot to answer for here -- metaphysical horror is a great vehicle to deliver mindless special effects and titillation.
I'd agree with previous posters and definitely include the 19th century classics - Shelley's
Frankenstein, or the Modern Prometheus, and Stoker's
Dracula. Definitely,
definitely read these in their original before seeing someone's movie adaptation. Shelley's treatment of Frankenstein's monster is smarter, more lucid, deeper and more sensitive than anything you can find from Boris Karloff in makeup. She wrote Frankenstein at only 21, and it's very impressive in its maturity. Stoker's
Dracula is far better in book form than in any movie form I've seen too. It's got a great undercurrent of Victorian raunch coupled with British colonial superiority and a wonderful xenophobic fear of Eastern Europe - plus the archetypal vamp, of course.
The Exorcist lives here.
I'd suggest reading a couple of Lovecraft shorts for completeness - but only read more if you can see past his purple prose, stiff sentences and flat characterisation to the fun ideas. Lovecraft is a great conceptualist. He loved screwing with our smug notions of man's place in the universe. I love his imagery and themes of tortured solitude, but someone should have taught him what pacing and character are all about.

If you like Lovecraft's take on the universe, you can also pick up some August Derleth, Robert Bloch and Brian Lumley - they also work with tentacles-in-ya-face metaphysical horror, but to my mind have much stronger characterisation and narrative ability. Just don't eat kalamari or baby octopus while you're reading.

As an offshoot, you might try Colin Wilson. I put him in the same camp as Lovecraft etc... but he's more into hairy legs than tentacles. He has a very dark mind for the metaphysical though, which I think is a good prerequisite.
Let me also mention Poe here: Poe.
Ghost stories! Oh, these can be a delight. They're partly psychological horror -- did I
see what I thought I saw or did I not? What does this thing
want? But they're also metaphysical too by their very nature - what's life like after death? How should we treat the dead? Most of the best ghost stories are shorts; any reputable ghost story anthology has scads of good material.
Stories of human depravity and bestialism get their own paragraph too here. Stevenson's
Dr Jekyll and Mr Hyde is a must read.
Cat People I'd say is a must-see. I'm trying to think of a pinnacle werewolf story to recommend, but one doesn't come to mind right away -- there's a whole thread on
werewolves at the moment though.
The Hunger is a pretty good story of human depravity too - vampirism without the fangs.
Nonspecific horror
Quite a bit of horror mixes the psychological, sociological and metaphysical - a little from columns A, B and C; mix it up to try and scare you. To be honest, it feels a bit like cheating to me -- like throwing in curry-powder to spice up otherwise uninteresting cooking. I like my horror to be strongly theme- and character-driven; but nonspecific horror tends to be plot- and effects-driven.
There are a few artists who are just horror factories - King, Koontz and Craven come straight to mind. Sometimes they've got a great thematic idea, but other times they'll just throw together anything that might scare without regard to theme. They're all good story-
tellers, so it'd be unfair to call their work hit and miss; rather, I'd say hit and bunt. If
Misery is one of my favourite King stories,
IT is one of my least favourites - great imagery, good narrative and brilliant scene-setting searching for a theme.
On my Avoid List
What horror to avoid? Anything that lacks suspense; anything that lacks a meaningful theme; anything that's titillating rather than confrontational. So when I'm looking for horror I spurn most vamp stories (many aren't horror so much as sadomasochistic gothic romance), zombie brainmunching stories (dark humour more than true horror), most stories involving large animals, or swarms of animals (excepting
The Birds, which is much more about social breakdown than birds themselves) or people grown very large or small, or people/animal hybrids, anything involving human mutilation where that's the
only point. It's not that you couldn't tell strong horror stories using these premises - it's just that so few people
do, when special effects and titillation are so cheap and easy.
Why Horror?
Good horror changes us. It shakes up the brittle edifice of our smug complacency; our tendency to take ourselves, each other and our world for granted. It cuts through our denials and self-justifications and veneer of civilisation to find the limbic core of what drives us - our greeds, our lusts and our fears - and to serve them back up to us, naked, wet and slithering and garnished with a sprig of parsely. With good horror, taking a shower isn't enough. You need to flee to bed with a bunch of pillows and a hot water bottle and hide under the covers with your toes clenched whimpering for a while. And when you emerge, you come out a little less self-assured, but a lot more grateful for the world we've managed to construct for ourselves.
Hope there's something vaguely helpful in this. My tastes may be nothing like yours, but sometimes hearing
why someone likes or doesn't like something, can help us work out why we disagree with them.
