Okay, okay!
Lovecraft, Poe, and King are all great for eeriness, but if I want to actually give myself the shivers, I'll get on the internet and look up urban legends and ghost stories. If you're insistent upon having a sit-down with an actual book, Jan Harold Brunvand has written several great books on urban legends (The Baby Train, The Choking Doberman, etc.) that are worth checking out.
The
Scary Stories to Tell in the Dark series by Alvin Schwartz is another favorite of mine, though they're meant for kids. It's the same principle as Brunvand's stuff--stories that have been passed along by word of mouth so long they've become folklore. The same author also wrote a book called
In a Dark, Dark Room, which I adored so much as a child that I had to buy it for my collection as an adult.

I still read that one a lot when I need some Halloween spirit.