I have more short-story collections that are the works of one author than full-on anthologies, but among my favorites:
The Oxford Anthology of Victorian Ghost Stories
Chaosium's Cthulhu Mythos books (with varying titles, usually something along the lines of The [name of Elder God] Cycle) -- but I'm not sure they're currently in print...
The Ghost Stories of EF Benson
Collected Ghost Stories of MR James
They're not anthologies so much as short story books entirely by one author, but Everything's Eventual by Stephen King and Smoke and Mirrors by Neil Gaiman are both good. Everything's Eventual has some real clunkers, but "That Feeling, The One You Can Only Say In French" alone makes it worth the read. And while the Gaiman one isn't pure horror, there are some pretty chilling stories in there, and I'm a drooling Gaiman fangirl.
"I'd really love a cup of tea, but it would be, like, blood or death or evil or something."
~Matteo Brazi, Borcan thief, Day 3 of Bleak House
I don't know, Everythign's Eventual does rule, but I thought the story "That feeling you can only say in french" was pretty lame.
Room 1408, and Lunch at the Gotham Café, however were very good. In fact, Room 1408 was actually used in a recent Dragon Magazine article about hauntings.
Only problem is that Everythings Eventual covers a wide spectrum of King's work - from horror, to sci-fi, to drama.