If you're a fan of Fighting Fantasy Gamebooks, why not try the following?
Curse of the Mummy
Howl of the Werewolf
Night of the Necromancer
Other gamebooks I've written that have a nightmarish element to them are:
Temple of the Spider God
Alice's Nightmare in Wonderland
If you like short story anthologies, why not check out one of these titles?
Shakespeare Vs Cthulhu
If Steampunk is your thing, all of these books have horror overtones:
For Doctor Who fans there are these two horror-themed titles:
The Horror of Howling Hill
Night of the Kraken
Readers who remember Warhammer should definitely check out:
The Dead and the Damned