Some of my favorites:
999
October Dreams: A Celebration of Halloween
The Dark Descent: I haven't read this yet, but it contains TONS of classic horror stories from all of the masters of the genre, including Poe, Lovecraft, M. R. James, King, Barker, Shirley Jackson, Algernon Blackwood, Nathaniel Hawthorne, Ambrose Bierce, and many, many more. I can't recommend this one highly enough!
The Mammoth Book of Best New Horror Series, now in its 15th year
Tales of the Cthulhu Mythos
Gathering The Bones