Shirley Jackson is on my list, too.
Mary Shelley, obviously, and others have already mentioned Lovecraft and Poe.
You could maybe make a case for Henry James (not primarily a horror writer but his darker works definitely informed the genre) and Sheridan Le Fanu, (what with Carmilla and all). Maybe.
LeFanu is really good at capturing the dream-like sense of reality slipping away from the victim of the horror. Carmilla is one of the best examples of the vampire's clinging, alluring obsession with her victim that gradually comes to take over the victim's life. But I think he really shined in his shorter stories. My personal favorite is Squire Toby's Will in which the horror extends even to the protective ghosts because they are so freaky. The sense of the horror-target's reality just slipping away like sand was actually pretty terrifying as well as beautiful.
I don't understand the love affair with Lovecraft. I read a couple of collections and had to force myself through them after the first couple of stories. For the most part they seemed to be the same story over and over and over. The mythos is interesting, but I find what others have done with it far more interesting. Please don't ban me from the Horror forum
I would argue that, technically, Lovecraft was not a good writer. He was formulaic, yes, though I don't hold that against him. However, additionally, his characters were non-entities, he had little concept of human relationships, and his style was just absolute madness.
But he was truly original. He broke new ground with the mythos, and it was a concept that spoke to the modern period in a unique and completely on-spot way, which is ironic, considering what a Luddite he was. Yeah, okay, he did tend to trot out the same stage dressing every time, and yes, yes, okay, twittering idiot flutes in the mists, and batwinged crab-things, and boo-hiss swarthy people -- all right, we get it already, HP.
But despite his failings, he could spin a hell of a yarn, and he was frequently able to achieve both real creeps and real fun.
The Colour Out Of Space is one of the best horror shorts ever, imo. It is full of dread, horror, terror, tragic pathos, and lingering nerves. Maybe the next best for sheer fright-impact is The Horror of the Middle Span. The Shadow Over Innsmouth, The Dunwich Horror, The Shunned House, The Case of Charles Dexter Ward are classic horror memes delivered in a unique style. In the Walls of Eryx is an excellent example of scifi horror, presenting us with a thoroughly modern take on a classic prisoner tale. Its effect is in the setting rather than the plot.
And then there's the meat of the mythos -- all the gods and space critters. There's just something so giant-monster-hilarious about it all that a lot of the time, I'm just going along for the Lovecraft ride because it's a hoot. And I think that's an important part of the genre.
Lovecraft isn't going to be everyone's taste - gods, talk about criminal misuse of a thesaurus, right? - but he did tell some good stories, he did invent a sub-genre that has transformed a lot of modern pop culture, and he did give us a whole new set of giant space monsters. Gotta give him props for that.