I won't say that this is a list of my favourite eerie stories, rather I'll frame this more accurately as stories that had an impact on me. Many of these were read as a child so the potential to fright was at its height. Pidgeons From Hell and Haunted however I read as an adult in just the right setting and they burned into me the way a good tale of terror should.
Robert E. Howard - Pidgeons From Hell
Joyce Carol Oates - Haunted
Ray Bradbury - There Was an Old Woman, The October Game
Edgar Allan Poe - Bernice, Morella, The Black Cat, Fall of the House of Usher
H P Lovecraft - At the Mountains of Madness, the Colour Out of Space, Whisperer in the Dark, The Haunter of the Dark
Algernon Blackwood - The willows
H G Wells - The Red Room
Rosemary Timperley - Something in the Cellar
Angus Campbell - the Sad Vampire
English Folktale - Teeny Tiny
Joseph Jacobs - Where is My Golden arm?
W.W. Jacobs - The Monkey's Paw
Charlotte Perkins Gilman - The Yellow Wall Paper
Joseph Conrad - Heart of Darkness
Charles Dickens - A Christmas Carol
Washington Irving - The Legend of Sleepy Hollow
Graham Ingles - Horror We? How's Bayou
Bram Stoker - Dracula
Charles Manson - Manson in His Own Words
Charles Burns - Blood Club
Leslie adds:
Alvin Schwartz - Scary Stories to Tell in the Dark
Julio Cortazar - House Taken Over
Paul Spencer - You Must Flee Again
Ray Bradbury - Jack in the Box