Lovecraft and Machen will pop up in this thread i imagine and they're great but my favourite writers tend to be far more subtle and far more ambiguous. Walter de la Mare is up the top of my list. His short stories are a total enigma of weirdness. Often it is hard to tell if something supernatural or weird is going on at all or whether it is something you are imagining yourself but the stories get under the skin and itch at you for days later. Oliver Onions and L.P Hartley are two other writers from the same Edwardian period who get close to this weird existential horror. 

The writer who gets closest to, and surpasses, Mare's open-ended weirdness, though, is Robert Aickman who wrote a number of story collections between the '50s and the early '80s (he died in '82 i think). Aickman is my favourite writer full stop and i'm not sure what he does in his stories, or how he does it, but i find them terrifying and totally unnerving. Part of it is his settings of course. I'm a sucker for the slightly sleazy run down bedsits of the 50s and 60s, the lost person abroad, animated wood, carnival tents set up in grim pub carparks. Within these settings Aickman does something that i find pretty unexplainable in the way they seem to connect and get under the skin. It's like a weird uncomfortable Proustian thing but one that leaves you not sure of what you are quite remembering and why it is making you feel so icky. And his autobiography 'The Attemped Rescue' is pretty damn weird itself. The guy sure had a bonkers family. 

There are some great supernatural writers around at the moment as well. I'd say we are in a bit of a golden age really. Thomas Ligotti still reigns supreme in my mind but writers such as Mark Samuels, Quintin S Crisp, Laird Barron, Simon Strantzas, Nina Allan, Jeremy Dyson, Matt Cardin and a lot more are all doing some fantastic work in the supernatural area. It's a good time to be into the weird i'd say.

Oh, and i forgot all my favourite eastern european writers such as Bruno Schulz and Stefan Grabinski.