Over at the SF Signal site the Mind Meld Question is "Our Favorite Women Horror Writers". What surprised me most about the lists were the number of short stories that were mentioned.
I've linked to a few of the older stories mentioned for your reading pleasure:
The Yellow Wallpaper by Charlotte Perkins Gilman
The Jilting of Granny Weatherall by Katherine Anne Porter
One Ordinary Day, With Peanuts by Shirley Jackson - this is a pdf file