The Girl Who Loved Tom Gordon, by Stephen King (there are a great many books I could suggest by King, but for someone starting out in horror, this would be my best suggestion! It's short, fast-paced, stressful...and yes, scary. It scared me, chilled me. If you have any fears of the woods, of being lost, this book is a MUST for you! Even if not, it's still a scary, incredible book!)
Heh. I loved those R.L. Stine books back in the day.
Paul Jennings wrote some good ones as well.
He wrote a book called The Naked Ghost, Burp! and Blue Jam.
Blue Jam always stayed with me, it was morbid as hell.
A story about a shop owner in a dying opal mining town who is approached by a woman who sells him a fruit that makes anyone who eats it become instantly addicted. He makes jam out of it and pandemonium erupts.
I agree about Stephen King. I have a book of his called four seasons. With different stories including the shawshank redemption.
Though one story that gave me chills, was The Body. The movie Stand By Me was based off this story. It was chilling in the fact that four boys in Maine, track deep into the woods to find the body of a boy who was mangled by a train.
The chilling part is when they find the body, and all of the shit that circles around it, and the detail the narrator gives on the events of his twelve year old self going through the ordeal with his friends back in 1960.