Spirits of the Season is only the second book of British Library's Tales of the Weird series that I've read, but it's even better than the first one. Apart from the baffling inclusion of The Christmas Shadrach (1891) by Frank R. Stockton (not creepy in any sense of the word nor interesting), there's no actual weak link that short story collections such as these usually have.

All of these could handle multiple readings, but most importantly: they're perfect for a cold winter night and can make you double-check the shadows in the room. The absolute best of the best:

The Kit-Bag by Algernon Blackwood (1908): An old favorite that really managed to creep me out the second time around as well. It can be hard to imagine that a ghost story concerning a bag could do that, but it's very intense.

The Snow by Hugh Walpole (1929): Beautifully written revenge story, an eerie atmosphere, and an excellent ending.

The Story of a Disappearance and an Appearance by M. R. James (1913): The master of horror whose imagery in the nightmarish Punch and Judy show always gets me.

Smee by A. M. Burrage (1929): A game of hide and seek takes a chilling turn. There's something about lighting a match and seeing something you don't want to see, or coming into a slow realisation that there's something wrong with the group you're spending time with.