Tough call here. It's easier for me to go by genre, so here we go.
Horror: anything by Thomas Ligotti. Songs of a Dead Dreamer is probably his strongest collection. Another favorite would be The Parasite by Ramsey Campbell.
SF: The Left Hand of Darkness by Ursula K. Leguin and Hot Sky at Midnight by Robert Silverberg.
Other: Crash and The Atrocity Exhibition by J.G. Ballard.
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