Clark Ashton Smith, Brian Lumley, August Derleth, Robert E Howard, Michael Shea, Ramsey Campbell, David Drake and Frank Belknap Long all had at least some decent stabs at short stories in the Lovecraftian Mythos. The first three are the most significant contributors to that, and Ashton Smith in particular had a distinctive vision of his own that makes all of his short story compilations worth looking into.
So, too is the earlier but essential 'The King In Yellow' by Robert W. Chambers, in my humble opinion. And Ambrose Bierce's fictional works also bear investigation.
Would second bapho's recommendation for William Hope Hodgson, too: 'House on the Borderlands', though novel-length, is a classic, and the 'Carnacki the Ghost-Finder' short story series is extremely entertaining.

I'm reading a collection of short novels by Hanns Heinz Ewers, whom I didn't know. Outstanding imagination, very macabre, almost blasphemous. I'm thrilled!
https://en.wikipedia.org/wiki/Hanns_Heinz_Ewers

Fingerprints of the Gods - Graham Hancock

Interesting discussion, and amaizing lists i must say!. I am currently reading a book called "the Vegetarian". It was a Christmas present, from my husband's mother, and i absolutely love it!. You can read the reviews of the book here

I'm in the middle of Monster Hunter: Nemesis and the beginning of the Necronomicon.

Dragonlance chronicles
Just started the first book and I really dig it.

I'm in the middle of like four or more books...

The Interior Castle by St Teresa of Avila
Diary of St Maria Faustina Kowalska
Thoughts in Solitude by Thomas Merton
Seeds by Thomas Merton

Always reading:

Bible (NABRE)
Daily Missal

Yes, I'm the token Christian on here, haha

Perturabo: Hammer of Olympia.

Almost finished it, next up is probably Horus Heresy: Fallen Angels.

Forever And A Day - the newest Bond novel by Horowitz

Perhaps a change of plan, I think after I finish the book I'm currently reading I will go and read Dune, which has been sitting on my shelf for a few years and I'm yet to read for even a first time.

Will to Power, by Friedrich Nietzsche

Bought my fair share of Nietzsche's books but failed to finish any of them.

Now reading
Maupassant's Bel Ami, Thomas Mann's La Montagne Magique, my Italian Assimil and finishing Minois' Histoire de la Solitude (I'm a fan of this historian's knowledgeable books).

My Struggle IV by Knausgård right now

Just finished the Oral History of King's X. Pretty good book if a bit depressing. Other than that, lots of Hellboy.

Stanislaw Lem “Solaris”

It seems like “surrealistic literature” as the imaginations it arises (and the whole story, too) resemble a strange fever dream.

"The willows" by Algernon Blackwood.

I've been reading several plays by Jon Fosse who happens to be the world's most played living dramatist. His style really wouldn't make you believe he's the most played. It's Beckett-like in a sense but also completely different. His use of language and dialect is incredibly interesting.