I have No Mouth and I Must Scream
Duuuude, that story got me. It hits one of my greatest personal fears, right on the head.

House of Leaves is also a good one. I read it in a room out in a remote hostel, and all that separated me from the night, the dark and the woods were a few centimetres of glass. Also, the house was full of people, naturally, but I had to cross a large, DARK hallway to get to them.

The Nothing Equation kinda falls into the same category.

Aside from that, Lovecraft and ole Stephen King are always good for horror.

Films, I have to say Ring, the Japanese movie, frightened the hell out of me, but it could just have been the fact that I was younger then. I also vividly remember the "Conjure of Sacrifice"-record from "The Skelleton Key" haunting me. Just the way it was recorded, man