If it's not clear from Sungazer and my own viewing and reading habits, weird fiction/cosmic horror is far and away my favorite 'genre' in any medium. So, since I've been catching up a lot on my weird fic reading/writing, I'd figure I'd give this a go. Short stories/novels only.
Robert W. Chambers - In the Court of the Dragon

The King in Yellow is my favorite horror collection of all time, and although there is still competition for the best story of the bunch, In the Court of the Dragon is the one that best crystalizes the collection's dark atmosphere.
William Hope Hodgson - The Voice in the Night

The basis for Matango (Ishiro Honda's best film, for the record) is a stellar mix of William Hope Hodgson's supernatural nautical fiction and truly revolting body horror, complete with evil fungus-things.
Thomas Ligotti - Masquerade of a Dead Sword: A Tragedie

A pure distillation of Ligotti's special brand of nightmarish pessimism as applied to pitch-black dark fantasy, complete with pitiful jesters and a malignant universe and 'sword-whores'. Probably my favorite fantasy story.
Edgar Allan Poe - The Masque of the Red Death

No explanations needed, an all-time genre classic for a reason. My favorite Poe, and one I return to often (Although I gotta say, re-reading it a few days ago really hit differently).
Edogawa Rampo - The Caterpillar

Rampo's most brutal and deranged work, maybe not straightforwardly 'weird' like the others on this list, but it carries a supernatural atmosphere, and a real feeling of bleakness to it that can outdo most anything else.
Nikolai Gogol - The Nose

My favorite Gogol, a satire running on perverse nightmare logic, effortlessly pinballing between funny, sad, and surprisingly scary again and again and again
Jon Padgett - Origami Dreams

The newest story on the list, one of the scariest stories about the loss/transformation of identity I've ever read, perfectly capturing the feeling of a half-remembered dream.
H.P. Lovecraft - The Colour Out of Space

The best cosmic horror story if judged entirely by the idea of 'cosmic horror', in that it is somehow able to use relatively straightforward (If very ornate) text to capture the feeling of something truly indescribable.
Tom Reamy - Under the Hollywood Sign

A supernatural encapsulation of repressed sexuality and rage exploding into hatred and violence in a truly nasty, unsettling read. Probably the only sci-fi story I'd say would pair well with a viewing of Cruising?
Luigi Ugolini - The Vegetable Man

Read this one somewhat recently in the anthology The Weird, where I was taken aback by how effective of a straight-forward, plant-based body horror story this is. In fact, speaking of plant-based body horror...
Clark Ashton Smith - The Garden of Adompha

One of C.A. Smith's most bizarre, a brutal dark fantasy/body horror piece about a king who grafts living human parts onto plants in a grotesque garden. While Smith is usually more fascinating than 'scary', this one's an exception.
Georgio De Maria - The Twenty Days of Turin

The only full-length novel on this list, which has probably slowly become my favorite horror novel of all time. Worryingly prophetic of modern communication, and all the scarier for it.
Charolette Perkins Gilman - The Yellow Wallpaper

Another that's maybe not strictly/straightforwardly 'weird' by some's measures, as the supernatural is fairly explicitly all hallucination, but this remains one of the scariest and most anxiety-provoking things I've ever read.
Ryunosuke Akutagawa - The Hell-Screen

Horror from the writer of Rashomon, detailing a mad painter's brutal quest to accurately paint a depiction of hell. A fascinating blend of erotic grotesque and supernatural terror.
Clive Barker - In the Hills, the Cities

Not only an all-time great, but maybe the first horror story I read when I was younger with absurdity that actually terrified me.
Harlan Ellison - I Have No Mouth and I Must Scream

The all-timer as far as post-apocalyptic fiction is concerned. Potentially bleaker than any other science fiction I've read, maybe as bleak as it can get without becoming comical.
Shuji Terayama - The Eraser

While he may be best known for his (phenomenal) films, Terayama's fiction isn't to be missed - particularly The Eraser, a dark and spooky fairy-tale about a man who attempts to use a magic eraser to physically erase his romantic rivals.
Arthur Machen - The Great God Pan

It's honestly a toss-up for me between The Great God Pan and The White People for my favorite Machen, but in the end, I have to go with this one, a wonderfully eerie mix of early science fiction and folk horror.
Franz Kafka - The Metamorphosis

Ok you really don't need me to tell you why this one's great, now's probably a good a time as any to read or re-read it, do it it's The Metamorphosis come on
Mark Samuels - Vrolyck

A wonderfully confrontational meta weird-tale that seems part autobiography, part sci-fi, part direct attack on the reader, all very uncomfortable. I would actually quite like to read the in-universe 'Dybbuk Pyramid', even if it would [SPOILERS REDACTED]
Algernon Blackwood - The Willows

One of the genre's defining stories, and maybe the best work I've read about nature itself being somehow malignant. Extremely spooky.
Georg Heym - The Dissection

Another recent find in 'The Weird', a hypnotic sort of prose poem about, well, take a guess. As oddly beautiful as it is obviously gross.
ETA Hoffman - The Sandman

As someone whose main understanding of Hoffman until a few years back came from like, community theater productions of The Nutcracker Ballet, it was incredibly hard to process that the author of the source material wrote this, just supremely creepy.
Herman Melville - The Bell-Tower

A strange, only vaguely supernatural story by Melville that seems to function as a sort of Tower of Babel tale about man's hubris, here represented by a mad architect who is murdered by the crown jewel of his automated bell-tower.
Phillip K Dick - Fair Game

Cosmic horror from Phillip K Dick that, in usual Dick fashion, starts from a bizarre image and builds and builds and builds into a surreal, cruel punchline. Was the first from him I ever read, and its stuck with me.
Well, that's 25 stories, a nice number to hit the brakes at for now! I'll return later with some more, but I hope you've enjoyed the selection here! If any piqued your interest, many are in the public domain, and of course, are all highly recommended.
Jorge Luis Borges - The Writing of God

While The Aleph is the popular Borges weird choice, I'm personally more partial to The Writing of God, a surreal story of an imprisoned priest discovering the code of the universe in the patterns of the fur of a jaguar.
Arthur C. Clarke - The 9 Billion Names of God

Another 'discovering the secrets of the universe' story, with an albeit far more apocalyptic tone. One of the greatest combinations of technology and mysticism in fiction, with an all-timer last line.
Irvin S. Cobb - Fishhead

The true magic of weird fiction is in its atmosphere, and there are few stories with a thicker and stronger atmosphere than Fishhead - an early creature feature sorta deal set in a wonderfully foreboding swamp full of malignant catfish and turtles.
Lord Dunsany - The Hashish Man

One of the earlier surreal drug stories out there, focused on a hashish trip and a mystical city in a sort of... Look, going to be honest, I've probably read this one four or five times, and I am still not exactly sure what it is. I love it.
Hagiwara Sakutaro - Cat Town

Another great maybe-drugs-maybe-real weird tale that takes a story about the pleasures of getting lost in your own surroundings and turns it into something incredibly unsettling.
Simon P. Murphy - The Lament of the Bathynaut

A tale of an ocean-worshiping deep sea diver sacrificing himself to the depths. Literally just read this one for the first time last week, and re-reading it this afternoon is what inspired me to go revive this thread for a bit.
Joseph Sheridan Le Fanu - Green Tea

A psychological horror tale about a man who drinks green tea that stimulates his pineal gland, causing him to see a manifestation of the Imp of the Perverse in the form of a psychic monkey. If you're not sold, there's no hope for you.
gonna bring this back for a bit
Jean Ferry - The Fashionable Tiger

A deceptively straightforward and brief account of a bizarre circus performance, where a tiger is hypnotized and costumed to perform human actions. Extremely offputting and sinister in a somewhat inexplicable way.
L.A. Lewis - The Tower of Moab

A bizarre religious(???) horror story of a travelling salesman finding the ruins of a new Tower of Babel in a small English town, and quickly realizing its horrible powers. The only Lewis I've read, and it's amazing. I need to track down more.
Eric Basso - The Beak Doctor

An experimental novella following a doctor patrolling a city gone to ruins, smothered by fog and wracked by a plague sending inhabitants into a mysterious slumber. Essentially eighty-odd pages of pure atmosphere, a very exciting read.
Leonid Andreyev - The Red Laugh

A war story that slowly reveals itself to be a metaphysical nightmare concerning an all-powerful manifestation of Death and chaos, over a hundred years old and one of the most brutal things I've ever read.
Bruno Schulz - Cinnamon Shops

My favorite story in 'Street of Crocodiles', purely for the fact that in a work full of stories that read like half-remembered dreams, none feel more applicable to the structure or feeling of recalling a dream than this. Wonderful and bizarre.
Michael Chabon - The God of Dark Laughter

I haven't read any of Chabon's "respectable" works yet, so I am just going to live in a blissful ignorance where I imagine his entire ouevre is stories about bizarre clown cults and chaos gods.
Michael Green - The Raw and the Cooked

Much like how reading and re-reading Lament of the Bathynaut inspired me to bring back this thread the first time, reading and re-reading this revived the thread again. An effective, upsetting story of sacrifices to a fast food deity.
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