A list of short stories and novellas I've enjoyed, though I should admit listing "cosmic" horror stories runs into the problem of distinguishing whether or not the story has cosmic implications or is just a "weird tale" (that's why no "Mr. Gaunt" by John Langan or "Bringing Helena Back" by Sarah Monette). Not really sure I've done a good job of sorting that out but, for instance, I didn't add "Amour Dure" by Vernon Lee; even though it tickles the spot in me that stories generally held to be cosmic horror also tickle, it's really more of a ghost/witch story, but I've included "The Horla" which -- maybe? I suspect there could be long arguments about a given story between fans.
Agents of Dreamland (Caitlin R. Kiernan)
Ancient Sorceries (Algernon Blackwood)
Angels in Love (Kathe Koja)
At the Mountains of Madness (H. P. Lovecraft)
The Autopsy (Michael Shea)
The Ballad of Black Tom (Victor LaValle)
Black Cocktail (Jonathan Carroll)
Black Helicopters (Caitlin R. Kiernan)
Black Man With a Horn (T. E. D. Klein)
The Bureau D'echange De Maux (Lord Dunsany)
The Call of Cthulhu (H. P. Lovecraft)
A Colder War (Charles Stross)
The Color Out of Space (H. P. Lovecraft)
Cleopatra Brimstone (Elizabeth Hand)
The Dark Eidolon (Clark Ashton Smith)
The Dreams of Albert Moreland (Fritz Leiber)
The Events at Poroth Farm (T. E. D. Klein)
The Great God Pan (Arthur Machen)
His Mouth Will Taste of Wormwood (Poppy Z. Brite)
The Horla (Guy De Maupassant)
The Hounds of Tindalos (Frank Belknap Long)
An Inhabitant of Carcosa (Ambrose Bierce)
The Interloper (Ramsey Campbell)
The Last Feast of Harlequin (Thomas Ligotti)
Le Peau Verte (Caitlin R. Kiernan)
Les Fleurs (Thomas Ligotti)
Mimic (Donald Wollheim)
The Mist (Stephen King)
Nadelman's God (T. E. D. Klein)
Near Zennor (Elizabeth Hand)
Old Virginia (Laird Barron)
Olida (Bob Leman)
On Skua Island (John Langan)
Onion (Caitlin R. Kiernan)
The Panic Hand (Jonathan Carroll)
Procession of the Black Sloth (Laird Barron)
The River of Night's Darkness (Karl Edward Wagner)
The Shadowy Street (Jean Ray)
Smoke Ghost (Fritz Leiber)
Sticks (Karl Edward Wagner)
A Study in Emerald (Neil Gaiman)
Teatro Grottesco (Thomas Ligotti)
Three Miles Up (Elizabeth Jane Howard)
The Tugging (Ramsey Campbell)
Undertow (Karl Edward Wagner)
The Voice in the Night (William Hope Hodgson)
The Wendigo (Algernon Blackwood)
The Willows by Algernon Blackwood
Window (Bob Leman)
The Yellow Sign (Robert W. Chambers)
Novels are a bit sparse:
The Croning by Laird Barron (good, but not great)
Strange Eons by Robert Bloch (fun, but not great)
The Red Tree & The Drowning Girl by Caitlin R. Kiernan (excellent novels, though maybe a stretch to call them "cosmic horror")
The Beetle by Richard Marsh (Victorian horror, doesn't ever quite explain what "The Beetle" is)
Lovecraft Country by Matt Ruff (really good)
The Mall of Cthulhu by Seamus Cooper (pastiche/parody of Lovecraftian horror with a well-done passage of a character's feeling of dislocation on reaching R'lyeh)
Experimental Film by Gemma Files (excellent, not Lovecraft related)
Grin of the Dark by Ramsey Campbell (excellent, slow burn, tangentially Lovecraftian)
And that's enough of that.