Shorter stories: Rats in the Walls and Dreams in the Witch House. To me these are his best horror stories, pretty tight and with nasty punchlines. Plenty more decent ones this length.
Longer Stories (if you didn't like CoCthen these may not suit either) At the mountains of Madness is the big daddy, sort of ties in a lot of the Cthulhu Mythos. .. I guess there's the long one about Joseph Curwen (is it the case of Charles Dexter Ward?). These build and build, but there's a lot of mood creation and less of the "crap! a nameless horror!"
In between size we have the Dunwich horror, Shadow over Innsmouth, those ones. They can be quite good too, I like them for the details about the Miskatonic world.
I liove the fantasy stories, Dream Quest of Unknown Kadath, and its related stories about King Kuranes, the cats of Ulthar and so on, bu they have less horror, and its more stylised...I was tempted to give an example but I won't spoil it for you. Give the Dream Quest a burl, its a lovely bit of Dunsany-like fantasy, pre-Tolkien faery tale stuff. i suppose the Outrsider straddles the fantasy and horror genre.
The silver key stories get a bit out of control, but cross over back into steadier ground as a horror tale.
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