I highly recommend
H.P. Lovecraft's Book of Horror. It is based on HPL's famous essay "Supernatural Horror In Literature", and includes many of the stories listed in that essay. It's not a
Weird Tales collection but I imagine some of these tales may have been in the magazine. If you like Weird Tales you will probably like these stories anyway. The table of contents, as you can see, is very impressive:
Charles Dickens - The Signalman
Edward Bulwer-Lytton - the House and the Brain
Robert Louis Stevenson - The Body Snatcher
Hanns Heinz Ewers - the Spider
Theophile Gautier - The Foot of the Mummy
Guy de Maupassant - The Horla
Edgar Allan Poe - The Fall of the House of Usher
Ambrose Bierce - The Damned Thing
Marion Crawford - The Upper Berth
Robert W. Chambers - The Yellow Sign
Mary E. Wilkins-Freeman - The Shadows on the Wall
Ralph Adams Cram - Fishhead
Edwards Lucas White - Lukundoo
Clark Ashton Smith - The Double Shadow
Rudyard Kipling - The Mark of the Beast
E. F. Benson - Negotium Perambulans
Hugh Walpole - Mrs. Lunt
William Hope Hodgson - The Hog
Arthur Machen - the Great God Pan
M. R. James - Count Magnus
These are some of the all time best horror stories - ones such as "The Upper Berth", "The Yellow Sign", and "The Great God Pan" are worth the price of the book alone. There are some clinkers in there too, but overall a very good collection.
Best of all, you can pick up a
used hardcover copy for under a buck at Amazon.
Another good one is
A Chamber of Horrors. It's an anthology, without any anthologist being credited. Anyway, it has a lot of great rarely seen horror stories, such as
Wood by Robert Aickman,
The Red Lodge by H.R. Wakefield, as well as more familiar stories like
The Dunwich Horror by HPL and
A Warning to the Curious by M. R. James.
Again,
it's cheap at Amazon.
Finally, this is another un-Weird Tales-like suggestion, but some of the finest Victorian ghost stories are available in one volume, the
Collected Ghost Stories of M. R. James. James did not believe in romantic or tragic ghosts... no, he liked
evil, disturbing, malevolent ghosts. It looks like they have the whole thing available on line
at this link and the collection is definitely worth buying if you can find it. Highly recommended. It can be found cheap, but also some nice editions are very expensive. Shop around.