Some call it dark fantasy, others call it weird fiction. Whatever you call it, it's a subtle sort of horror that emphasizes the weird, the eerie, the disconcerting over the out and out scary or grotesque. You might say that classic horror works in the short term, but dark fantasy is geared more towards the long term cerebral chills that are harder to shake.
Those That Wake. One of my favorite writers, Thomas Ligotti, may be the quintessential purveyor of it. And while it's been a generally obscure pursuit since old H.P. Lovecraft was blazing its frontiers, there is now a brand new collection that puts it right out there for everyone to see. The Year's Best Dark Fantasy & Horror 2010 (edited by Paula Guran) is the first annual collection devoted to this subgenre and though I haven't read it yet, judging by the authors involved, it looks to be high quality stuff.
An excellent way to start down a (dark, eerie) path less traveled.