Anthologies:
The Women of Weird Tales -- no listed editor
The Book of Horrors -- ed. Stephen Jones
Great Tales of Terror and the Supernatural -- ed. by Herbert Wise and Phyllis Cerf (Fraser in later editions) -- good overview of ghost/horror material before 1944; early inclusion of Lovecraft stories
The Dark Descent -- ed. David Hartwell -- published in 1987 in hardcover, later issued in three mass market pbs
The Weird -- ed. Ann and Jeff Vandermeer
I don't read as many anthologies as I did as a kid. I would expect there to be some later anthologies that try to be comprehensive but, if so, they've passed me by. If you come across any horror anthology edited by Kirby McCauley, Richard Dalby or by Mike Ashley, it would be worth looking into.
Single-author collections, besides representative volumes of writers like Edgar Allan Poe, H. P. Lovecraft, Nathaniel Hawthorne, Ambrose Bierce:
In a Glass Darkly -- Joseph Sheridan Le Fanu
Kwaidan -- Lafcadio Hearn
Ghost Stories -- Walter de la Mare
Best Ghost Stories -- Algernon Blackwood (there are later collections out that include much the same contents)
Tales of Horror and the Supernatural -- Arthur Machen
Collected Ghost Stories -- M. R. James
The Traveling Grave -- L. P. Hartley
Zothique -- Clark Ashton Smith (probably easier to find a representative collection)
Twelve Tales of Suspense and the Supernatural -- Davis Grubb
Who Fears the Devil? -- Manly Wade Wellman (a good friend of Wagner)
Lonely Vigils -- Manly Wade Wellman
Fritz Leiber & H. P. Lovecraft: Writers of the Dark ed. S. T. Joshi
Night's Black Angels -- Fritz Leiber
The Early Fears -- Robert Bloch
Dark Companions -- Ramsey Campbell
Haunted Castles -- Ray Russell
A Nest of Nightmares -- Lisa Tuttle
Grimscribe -- Thomas Ligotti
Wormwood -- Poppy Z. Brite
Extremities -- Kathe Koja
The Throne of Bones -- Brian McNaughton
To Charles Fort, With Love -- Caitlin R. Kiernan
The Man from the Diogenes Club -- Kim Newman
Holiday -- M. (Mary) Richert
The Bone Key -- Sarah Monette
A Maze for the Minotaur -- Reggie Oliver
Ghost Summer -- Tananarive Due
1) If you find other collections by any of the above writers, they would be worth checking out.
2) I've been slow getting to collections from some more recent writers.
There are a few Gothic collections I'd recommend, but you might not consider them horror:
The Bloody Chamber and Other Stories -- Angela Carter
A Feast of Sorrows -- A. (Angela) G. Slatter
In the Forest of Forgetting -- Theodora Goss
The Lottery; or, The Adventures of James Harris by Shirley Jackson (original title of the collection)