Here are a number of anthologies that you should look into...

SLEEP NO MORE edited by August Derleth
WHO KNOCKS? edited by August Derleth
THE NIGHT SIDE edited by August Derleth
WEIRD TALES: 32 UNEARTHLY TERRORS edited by Stefan Dziemianowicz, Robert Weinberg & Martin H. Greenberg
RIVALS OF WEIRD TALES edited by Stefan Dziemianowicz, Robert Weinberg & Martin H. Greenberg
FAMOUS FANTASTIC MYSTERIES edited by Stefan Dziemianowicz, Robert Weinberg & Martin H. Greenberg
FAR BELOW edited by Robert Weinberg
WEIRD TALES edited by Marvin Kaye

The first three are all from the 1940's and have wonderful Lee Brown Coye illustrations. All feature stories (primarily) from the golden age of the pulps, and its all wonderful stuff.

I should also note that all are easily found on eBay or through AbeBooks....