Free on Kindle. Includes
Horace Walpole, The Castle of Otranto
William Godwin, Caleb Williams
Ann Radcliffe, The Mysteries of Udolpho, The Italian
Matthew Lewis, The Monk
Jane Austen, Northanger Abbey
Mary Shelley, Frankenstein
Thomas Peacock, Nightmare Abbey
Edgar Allen Poe, quite a few
John Polidori, The Vampyre
Washington Irving, The Legend of Sleepy Hollow
Charles Maturin, Melmoth the Wanderer
James Hogg, The Private Memoirs and Confessions of a Justified Sinner
H G Wells, The Island of Doctor Moreau
W W Jacobs, The Monkey's Paw
Gaston Leroux, The Phantom of the Opera
Lots more.
I think The Monkey's Paw is the best horror story ever written.