"Our Temporary Supervisor" by Thomas Ligotti is one of my favorites. Lines from it have stuck with me like "That's not necessary these days" and "The company is not accepting resignations at this time." It's one of those good short horror stories where there's a good mixture of unexplained dread and sudden panic.

"Distancia de rescate (Fever Dream)" by Samanta Schweblin is one I really liked too. It's a dying woman answering a series of increasingly bizarre questions from a boy poisoned by pesticides. I don't know how to explain the rest, it starts to become dreamlike

Other horror authors I've liked: Yoko Ogawa, Giorgio De Maria, and Robert Aickman