Café de Nuit

I myself tend to get bored by most horror novels. But I have a short attention span

But I have a few suggestions for Anthologies:
Tales of Ravenloft was good

But for a good anthology series try Masterieces of terror and the supernatural. The best story (IMO) of which is Richard Matheson's Graveyard Shift.

Also I shudder at your touch (I think that is the name) is a good horror series.

Any one have any suggestions for horror anthologies?

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 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.

I know I've seen "The Turn of the Screw," by Henry James, published together with other of his ghost stories. Those are definitely worth looking into.