I'd recommend The Oxford Book of English Ghost Stories Chosen by Michael Cox and R A Gilbert.
Lots of the greats in there.
I'm a big fan of MR James and would also recommend L P Hartley. One of my favourites is The Omnibus of 20th Century Ghost Stories, ed Robert Philips. The US title was Triumph of the Night and it includes a lot of stories from writers you don't normally associate with the genre.

Russ