I'm more of a Stephen King listener. I drive a lot for work, so I tend to get his books in audio book format and listen to them.
I think my favorites so far have been "Hearts in Atlantis" and "Gerald's Game." Probably not the average person's picks. I listened to "Gerald's Game" about 15 years ago when I had lost my job and was delivering newspapers late at night, listening as I drove around the route between midnight and 3:00 a.m. It was appropriately spooky (even though it is really just psychological horror and not anything supernatural) that it kept me freaked out over the several nights it took to finish it.
As far as his short story collections go, I especially liked "Nightmares and Dreamscapes" and "Everything's Eventual."
I'll second what dinah said about Dean Koontz; some of his stuff is really good, and "Odd Thomas" tops the list for me. "From the Corner of his Eye" was also excellent and evocative.