Robert W. Chambers The King in Yellow (which apparently was an influence for Lovecraft and was referenced in True Detective), which itself was influenced by Ambrose Bierce's An Inhabitant of Carcosa.

Clive Barker's The Great and Secret Show and Everville from his incomplete "Art Trilogy".

F. Paul Wilson's Repairman Jack/The Adversary Cycle series (around twenty novels I believe).

Michael Slade's Special X series.

Mo Hayder's Jack Caffery series (and her stand alone novels have occult/supernatural themes).

Then there's the more obvious choices: The Masque of Red Death, Traumnovelle, The Count of Monte Cristo, Faust stories, Portrait of Dorian Grey, Frankenstein, the writings of Poe, Lovecraft, Stephen King, Arthur Machen, William Peter Blatty, Crowley, Clive Barker and (ugh!) Dan Brown.