I'd give the hightst possible recommendation to these:


The Monk by Matthew Gregory Lewis
The Confessions of a Justified Sinner by James Hogg
The King in Yellow by Robert W. Chambers
The Island of Dr. Moreau by H. G. Wells
The Turn of the Screw by Henry James 

I've read all 1,000 plus pages of THE WANDERING JEW, and, while I enjoyed it, it has no place on the list.  It's not a horror novel, it's a "social problems" novel.  The supernatural content is negligible, and frankly often seems tacked on.  It's a sprawling epic about a group of people who have enormous potential to change the world for the better, and how the machinations of injustice wear them down,  I was surprised at how relevant may of the issues raised remain today.  If you are going to read this, get the Everyman's Library edition complete in one volume.