Anything by H. P. Lovecraft. Though technically they aren't 'books' in the sense that they aren't novels. But his short stories have a way of connecting with each other into a larger universe. I often refer to Lovecraft as the J. R. R. Tolkien of horror. If you really want a novel, however, the closest would be "At the Mountains of Madness" which is the only short novel he ever wrote. If you haven't checked him out already, now would be a good time.