Not an anthology as many people use the term, but Project Gutenberg on the web has a lot of Sheridan le Fanu, everything (I think) by Maupassant (around 900 pages if I remember correctly), Lovecraft, and Arthur Machen. The site has many of M.R. James' stories, although I think everything he wrote in horror (and some of his scholarly work) on various websites through a simple search. The site also has some nice 1930s science fiction, much of which borders on horror.