Oddly enough, I don't really read much horror outside of my Pathfinder RPG Bestiaries. Sure, I've checked out "Hate, Kill, Repeat" starring our favorite F13 villain, and a few other horror titles over the years, but most often the horror is balanced by heroes who are too competent to have me scared for them. Things like Jonathan Maberry's Joe Ledger series.
Gord Rollo's "The Jigsaw Man" was a good read. It's a pretty twisted Frankenstein sort of book.
Dennis Lehane's "Darkness, Take my Hand" is my favorite serial killer based novel. Hell it is my favorite novel.