The Complete Works of Edgar Allan Poe
Is there anyone who hasn't heard of Edgar Allan Poe?! He was completely awesome in every way, writing dozens of great poems and short stories, ranging from "kind of dark" to "OMG I WANNA CRY AND HIDE." If you haven't read any of Poe's work, just go ahead and start with EVERYTHING.
Scare Factor: Varies - He never relies too heavily on gratuitous violence to get his scares across, but more in general gothic feel and a brilliant grasp of mood.