[Sicknero]

If you've not tried the Dexter series by Jeff Lindsay yet, do so :-) It can't be judged by the TV adaptation (although that's pretty good too) as they are entirely different. True, Lindsay does go a bit Lovecraft in one of the novels, but on the whole they're utterly absorbing, very darkly funny, and rather sick at times.

Also Michael Marshal Smith, especially Spares. Not traditional horror but still horrifying in places and an excellent, surreal story. He's written a few, Only Forward is v good as well. Difficult to place him in a genre - I gather that "slip stream" is a popular label for it though.

American Psycho and Less Than Zero by Bret Easton Ellis are both a great read if you're into monsters of the human variety, or if you fancy a bit of bleak depravity then try Filth by Irvine Welsh.

Oh yeah... Stephen King writing as Bachman. I remember a book of four short stories, one being The Long Walk. I found that quite uneasy reading.