Books that are more "fantasy/horror" really aren't all that scary for me. I think the more realistic you get, the more scary things become, which leads me to my next point...nonfiction is infinitely more scary than fiction. Things that actually happened have the capacity to scare me, not monsters. Human beings are actually the scariest monsters of all in my book. On that note:
Fiction -
"the killers" by ernest hemingway - short story about a robbery.
"the murder of Raymond Vasquez" by charles bukowski, from the collection "the most beautiful woman in town"(full of other disturbing stories as well) - a short story about two men who kill a man for no reason
and, of course, "scary stories to tell in the dark" - a 3 book compilation of old folk tales and ghost stories. They are scary for their stark simplicity as well as some haunting artwork.
NONFICTION -
"Zodiac" by Robert Graysmith - a journalists account of the Zodiac murders. The serial killer who was never caught and taunted the cops. Excellent book, very scary.
"Communion" by Whitley Strieber - man who claims to have been abducted by aliens hundreds of times since he was a child. He claims it is non-fiction, and he is not a kook or nutcase. He was a successful novelist before he wrote "communion" and craziness does not come through in his writing. He makes some outlandish claims and while he could be lying, it still makes for some scary reading.
"The devil in the white city" by Erik Larson. Story about a serial killer who followed the Worlds Fair to Chicago at the turn of the century and built a hotel with secret passages and torture chambers so that he could murder the young women who stayed there. Also lots of interesting stuff about the Worlds Fair. Scary and true.
Also this is a no-brianer but have you ever read any Poe? He's pretty damn scary.