I second Lovecraft. You can pickup two omnibuses called Necronomicon and Eldritch Tales published by Gollancz, which contain some of his best stories.
As for others…
Joe Hill’s Heart-Shaped Box and Horns are pretty good dark fantasy/horror. I wouldn’t necessarily say they are scary, but very enjoyable.
Peter Straub’s Ghost Story is up there on the creep factor.
Stories from Harlan Ellison’s I Have No Mouth and I Must Scream stuck around in my head for a good while.
The Woman in Black by Susan Hill is pretty good. Daniel Radcliffe will be staring in the move to be released sometime next year.
Our Lady of Darkness by Fritz Leiber and The House on the Borderland by William Hope Hodgson are two other good mentions.
All good suggestions, anything by Fritz Leiber is recommended.
Our Lady of Darkness is an amazing work, Leiber’s
You’re All Alone or
Conjure Wife are also great horror works.
I think some of the best modern horror was written by T.E.D. Klein, who unfortunately hasn’t written much but what he did was classic. Check out his collection of 4 novellas,
Dark Gods, and his novel
The Ceremonies.
Kingsley Amis’s
The Green Man is mucho spooky.
Ray Bradbury, whose birthday this is today - Happy Birthday, Ray! - wrote some memorably scary stuff early in his career. Some of the best is collected in his short story collection,
The October Country.
F. Paul Wilson’s Adversary Cycle is very good, especially the Repairman Jack novels, which are sort of action-horror. His vampire novel,
Midnight Mass, draws heavily on his (lapsed) Catholic background.
Pretty old-school but very good is Algernon Blackwood. His short-story
The Willows is seriously scary, even though you are not really sure what’s going on, and NOT the story you want to read before going camping. If you google it you can find it on-line.
William Peter Blatty you’ve already read, but let me recommend some other good, lesser-known Catholic horror writers:
Russell Kirk is well-known as a political essayist in the conservative movement (his
The Conservative Mind was the unifying book of the post WWII conservative movement, and he was a frequent writer for Willliam F. Buckley’s
The National Review), but he had a second career as a writer of some pretty spooky ghost stories in the tradition of M.R. James (an Anglican cleric whose work I also recommend). Check out his best known novel, * House of Fear,* and
Lord of the Hollow Dark.
Robert Hugh Benson, the son of an Archbishop of Canterbury, later became a Catholic priest and Monsignor. Benson wrote both Catholic apologetic works and some pretty scary horror fiction and was wildly popular a hundred years ago. Check out his very spooky
The Necromancers (which delves deep into Catholic theology along with the horror, as all his works do and the then-popular practice of spiritualism). His
A Mirror of Shallot is a little like *The Canterbury Tales *(or Straub’s
Ghost Story, come to think of it), as a group of aging priests sit together after a communal dinner late at night and share stories of the strangest things that happened to them. His 1911 science fiction dystopia novel
Lord of the World, which forecasts a future world terminally inhospitable to Catholicism, is also pretty spooky.
The beloved Catholic apologist G.K. Chesteron wrote
The Man Who Was Thursday, in 1908, and it manages to be simultaneously sly satire, metaphysical thriller, espionage adventure, religious parable, and horror. (It’s available free as a Kindle book on Amazon, BTW).
August Derleth, lacked H.P. Lovecraft’s fundamental loopiness but is known for preserving Lovecraft’s literary memory through the publishing house Arkham House, which he created. While Lovecraft was a staunch atheist materialist (Christopher Hitchens even includes one of HPL’s letters in his atheism anthology), Derleth was a dedicated Catholic. Some of his horror fiction still holds up pretty well.
Tim Powers is a modern Catholic writer whose work veers from Sci-Fi to Horror to Fantasy and is always enjoyable. The latest Pirates of the Caribbean movie was based on his novel
On Stranger Tides. Gene Wolfe’s SF and horror writing is also informed by his Catholicism.
Hope this gives you some reading suggestions.