Frankenstein; or, the Modern Prometheus— The original Frankenstein story, written in 1818. Shelley started writing this when she was only 18, publishing it at 20. It’s a great, beautifully written horror story, and maybe the first novel ever in the sci-fi genre. It covered so much more ground than I was expecting it to.
Other books I’d call spooky:
The Black Spider by Jeremias Gotthelf: A spooky Swiss/German folktale novella about a haunted medieval village. It’s also old (1842) but you wouldn’t really know.
I rec’ed House of Leaves a little while ago, which is another, more contemporary and post-modern, horror story.
I wouldn’t call Blood Meridian by Cormac McCarthy primarily a scary story, but it’s amazing and the final chapter is the most chilling passage of any book I’ve ever read.