You want an unusual recommendation? Try Joyce Carol Oates. Some of her stuff is dreadfully literary, but her horror freaks me the heck out. My favorite is
Zombie. It has a plot somewhat similar to another book in this thread (I won't say which). It won the 1996 Bram Stoker award, and it is utterly chilling. All I'll say is that it's the diary of a not-terribly-bright murderer.
Another unusual recommendation?
Blood Meridian, by Cormac McCarthy. It's ostensibly a historical novel, but it's so surreally horrific that it might more properly be read as a horror novel. Totally gripping, totally terrifying.
One more, and this is a fun one that you've probably heard of:
World War Z: An Oral History of the Zombie War. It's sort of like an epistolary (sp?) novel: the story is told in a series of interviews with people involved in the events. My sister thought it was disjointed at first, but the story really starts to come together, and I found it very compelling.
The more I think about this, the more I can think of to recommend that is sort of in the genre but sort of not

. Okay, one more recommendation, this time completely not what you're asking for but might be worthwhile anyway: any one of the twenty or so
Year's Best Fantasy and Horror. The superb editors (at least one of whom has left the series in the past few years) define both genres widely, and they find some real gems to recommend. I've found several really great authors by reading the short stories in these collections and going on to find the authors' novels.
Daniel