"The Hellbound Heart" by Clive Barker is the novella that was made into Hellraiser. Barker is very good for this kind of fiction, though I tend to prefer his older stuff.
Another vote for the Kane novels by Karl Edward Wagner. They might be a bit difficult to find though.
Lord Dunsany is another classic writer of Fantasy with a dark twist. Again may be difficult to find.
Some of Robert E. Howard's stuff definitely qualifies (especially his Solomon Kane) and there have recently been some nice omnibus volumes released.
Another vote for the Kane novels by Karl Edward Wagner. They might be a bit difficult to find though.
Lord Dunsany is another classic writer of Fantasy with a dark twist. Again may be difficult to find.
Some of Robert E. Howard's stuff definitely qualifies (especially his Solomon Kane) and there have recently been some nice omnibus volumes released.