Reddit mentions of The Arabian Nights: Tales of 1,001 Nights: Volume 1 (Penguin Classics)

You have quite the appropriate username. I must warn you that if you're looking for "scary", you might be disappointed. However, because you asked, these are the titles that I can wholeheartedly recommend:

Bartleby the Scrivener by Herman Melville

Naked Lunch by William S Burroughs

Sanatorium under the sign of the Hourglass by Bruno Schulz

Oyasumi Punpun by Inio Asano (translation: "Goodnight Punpun." This one is actually a manga series. If you've never read manga before, check this one out. You won't be disappointed.)

Wieland by Charles Brockden Brown

Notes from Underground by Fyodor Dostoevsky (I have a bit of a personal attachment to this one for reasons that may seem obvious)

Memoirs of my Nervous Illness by Daniel Paul Schreber (This one was recommended by one of my readers, and I'm very glad I added it to the rotation)

Dog Soldiers by Robert Stone

We are Legion by Dennis E. Taylor (a bit of science fiction fantasy that really makes you question the concept of identity)

The Masks of Time by Robert Silverberg

Tales of 1,001 Nights, author(s) unknown

A few other authors and stories I would recommend:
Philip K. Dick;
The Long Goodbye by Raymond Chandler;
Patricia Highsmith;
James Lee Burke;
Jorge Luis Borges;
William Gibson;
Dashiell Hammett;
Haruki Murakami;
Charles Baudelaire;
Ambros Bierce;
Nikolai Gogol;
Alberty Camus;
Nathaniel Hawthorne;
M R James;
H G Wells;
J G Ballard;
Thomas Ligotti;

That's about all I can think of right now, but I think it's a pretty good place to start.

For Norse sagas, Penguin classics has some fantastic editions:

• The Saga of Icelanders
  
  
• Njals Saga
  
  
• Prose Edda
  
  
• Volsungs saga
  
  
• Kalevala
  
  For eastern mythology, you'll want:
  
  
• Bhagavad Gita
  
  
• The Epic of Gilgamesh
  
  
• The Arabaian Nights Volume 1, Volume 2, Volume 3
  
  
• Journey to the West Volume 1, Volume 2, Volume 3, Volume 4
  
  For Celtic mythology:
  
  
• The Mabinogion
  
  
• Arthurian Romances
  
  
• Early Irish Myths and Sagas

I went with these three editions from Penguin. I've only read a few stories into Volume 1, but the translation is a lot better than older ones I sampled on Amazon.