As your local (or internet local) goth librarian I have to announce this pretty cool new Halloween tradition. Neil Gaiman explains:
I am completely in favor of this notion of giving scary books on Halloween. I am in favor of giving books for all the holidays. So what books to give? I am not a huge reader of scary books. While I enjoy many books which are scary, scariness is not something, all on it's own, I look for in books, so I would love to hear the favorite scary books of others in the comments. You can also find more recommendations at the All Hallow's Read website.
Frankenstein by Mary Shelley: pretty close to the original scary book, and while not actually that scary by modern standards it is still a good read.
Pretty much anything by H.P. Lovecraft
The Island of Dr. Moreau by H.G. Welles
Fragile Things by Neil Gaiman, although only about 1/3-1/2 of the stories within are scary, it does contain what is probably the single most unnerving story I have ever read: "A Study in Emerald"
Watchmen by Alan Moore, with it's especially unsettling comic within a comic
Affinity by Sarah Waters
Beloved by Toni Morrison
For Kids (A very short list):
The Wolves in the Walls by Neil Gaiman
Bunnicula by James and Deborah Howe
Coraline by Neil Gaiman, which would also be enjoyed by most adults
Not-scary but theme appropriate, for those that don't actually like being scared:
Pride and Prejudice and Zombies (or really any of the Quirk Classics)
World War Z by Max Brooks
Crocodile in the Sandbank by Elizabeth Peters
Carpe Jugulum by Terry Pratchett