There are a bunch; some are much more interesting than others.
I'd probably start with "The Rats in the Walls" (man inherits ancient estate, discovers secret trapdoor in basement, hideous insanity ensues.) Then I'd move on to "The Whisperer in the Darkness" (man corresponds with friend in Vermont who thinks something odd is living in the woods; he's correct!), as well as the essential "Shadow over Innsmouth" (man is stranded in a Massachusetts fishing town that hides a truly horrible secret.) Finally, I'd strongly recommend "Pickman's Model," about a Boston painter whose paintings are just a bit TOO realistic.
There are many other stories that are applicable and creepy, and some that are a bit boring, but these should convey the right atmosphere!
- Piratecat