Now, I am quite reluctant, but my favourite author is Marquis de Sade. He is very weird, very frowned upon, but honestly, his books are amazing.
I know, that his books can't be handled by people with a weaker stomach, but I would strongly recommend his short stories. They published these under a lot of names, therefore I can't give a specific name for a book but yeah he has around 30-50 short stories, which he wrote when he was bored. He has oddly captivating style, and well, if you can handle his writing, I believe you won't get horrified ever from any book.