I can't just give you one book; Stephen King's short stories are truly frightening. If you have never read Nightshift or Skeleton Crew(to name a couple) then you do NOT know what you are missing. The most terrifying author I have ever read is H.P. Lovecraft. The whole Cthulhu mythos is great reading, including many stories by other authors. I also recommend HPL's short story Pickman's Model.
I agree with Jimbo my favorite horror reads are Stephen King's short stories. I used to get a horror magazine when i was little and it would have short horror stories in it from really good writers like Stephen King. There was a story from Stephen King in there called "the finger" I have looked fo that story everywhere but I never have found it. I also like some Anne Rice books like The Witching Hour.
If you want to read a Kick Ass story by Steven King, look for a book with 4 short stories by Richard Bachman. That was King's sue-do name back in his early days. I can't remember the name of the book, maybe Bachman Chronicles? Anyway, King wrote The Running Man, you know, the Schwarzenegger flick? Anyway, the book is so much better and I can't stress the 'so', so much better than the movie. I will spoil it for you if you want.
Spoiler:
The book ends with Ben Richards juggling his guts in his hands while flying a 747 he hijacked into the office of Damian Killian who happened to watch the plane come right at him from his window with a view. The last thing he saw was the pilot of the plane, Richards, giving him the finger right before the plane collided into the skyscraper exploding and killing them both.