I haven't really read anything for pleasure in the past few years, but Dostoyevsky is probably my favorite author when I think "classic." I think everybody should at least read The Brothers Karamazov, but I enjoyed Crime and Punishment and some of his smaller novellas more. I know people are real picky and passionate about which translations to read when it comes to Dostoyevsky, so it wouldn't hurt to do some research there if you want to read his works.
I also enjoyed Camus when I was in high school, though that might be reliant on how much of a pretentious snot I use to be.
Since you're interested in horror I'm sure you've already read him, but if you haven't, do read Edgar Allen Poe's body of work. The only other horror stuff that I can think of that I found really gripping is Mark Z. Danielewski's House of Leaves, though it is very experimental in its structure.