I once stumbled (don't even know how) onto this page here, which contains all works of Lovecraft plus a lot more of the classic horror stories, like Shelley's Frankenstein or Stoker's Dracula.
Awesome for inspiration.
Also, good to get into Call of Cthulhu (which I can wholeheartedly recommend, at least the 6th edition, d%-based (don't know about the other variants of that game).
Oh, right, and about horror generally: always remember that the players' imagination can create images far worse than what you could ever hope to describe. Therefore, always try to make them know something other is around, but delay them seeing it, or prevent it altogether. Horror is about the things you don't tell.