If you read ebooks, it's a nice time to be a fan of good supernatural and horror fiction. There have been first-rate small presses devoted to the genre for a long time, and some of them are making backlist and new titles available in digital editions at reasonable prices.
Cemetery Dance is an excellent publisher of horror fiction; even if the house wasn't publishing good new material, such as their limited edition hardcover of Kealan Patrick Burke's Kin and the new ebook A Life in Cinema by Mick Garris, CD would deserve kudos for issuing the ebook edition of Kirby McCauley's 1980 anthology Dark Forces. Dark Forces was a big collection of original horror stories done by some of the field's top names along with entries by writers not usually associated with the genre at the time such as Isaac Bashevis Singer and Joyce Carol Oates. This collection contained the original appearance of Stephen King's "The Mist," and also included work by Theodore Sturgeon, Russell Kirk, and Dennis Etchison. It's an excellent collection and it's available at a bargain price -- only $6.99 in the Kindle store.
Also active in ebooks these days is Ash-Tree Press. Ash-Tree is a Canadian publisher specializing in the classic ghost story, epitomized by the work of M. R. James. One of Ash-Tree's offerings is A Pleasing Terror: The Complete Supernatural Writings of M. R. James, which includes all of his ghost stories and his essays on supernatural fiction. Ash-Tree is also in the process of releasing six collections that will include all the ghost stories of E. F. Benson. If you've not read Benson's work, check out the text of his short story "Caterpillars;" after you've read that one, you'll want more. Ash-Tree is also offering work by H. Russell Wakefield, Arthur Conan Doyle, and others.
And publishers such as Necon, Samhain Publishing, and Macabre Ink have issued novels and short story collections by writers such as Alan Peter Ryan, Ramsey Campbell, Charles L. Grant, Jack Ketchum, Thomas Tessier, John Skipp and Craig Spector, Al Sarrantonio, Richard Christian Matheson and plenty more.
There are a number of good writers who are simply putting the work out there on their own. A nice example here is the series of Penny Dreadnought collections offering stories by James Everington, Iain Rowan, Aaron Polson, and Alan Ryker; three of these are out so far, and each contains a story by each of the four contributors.
There's plenty for the horror fan to choose from in the way of novels and short story collections. But what about the big anthologies? The ones that could serve as textbooks for a good classroom survey course in the genre? The best-known representative anthologies are probably the Modern Library anthology Great Tales of Terror and the Supernatural and David Hartwell's The Dark Descent. Both are excellent collections, and chances are any lover of the horror story owns one or both. A more recent representative collection is the big 2-volume The Century's Best Horror Fiction edited by John Pelan and published by Cemetery Dance; this one's expensive, priced at $150 for the set, but the selection of stories is terrific. None of these are available as ebooks, unfortunately.
If you want a good representative anthology of the weird tale in ebook form, your best bet at the moment is probably The Weird edited by Jeff and Ann VanderMeer. This one isn't from a small press; it's published by Tor/Macmillan, and at first glance it may seem a bit pricey for an ebook at $14.99, but it includes stories selected from a century's work in the genre, like Pelan's two-volume collection (and while there's some overlap in the selections, there's not very much). Among the 110 stories are Fritz Leiber's "Smoke Ghost," Jerome Bixby's "It's a Good LIfe," Robert Bloch's "The Hungry House," Saki's "Sredni Vashtar," Charles Beaumont's "The Howling Man," George R. R. Martin's "Sandkings," and Harlan Ellison's "The Function of Dream Sleep." The lineup of authors includes Clive Barker, Ramsey Campbell, Dennis Etchison, Poppy Z. Brite, Ray Bradbury, Neil Gaiman, Jorge Luis Borges, Shirley Jackson, and more Pricey? For a package this nice, $14.99 is a steal.
Links to some of the titles recommended above (links are to the U.S. Amazon Kindle store):
A Pleasing Terror: the Complete Supernatural Writings of M. R. James
"Caterpillars, by E. F. Benson"
The Penny Dreadnought Collections