The new Creepy Comics are getting steadily better and better, I especially liked a recent story about an insane demon hunting clown. You could also spend some money and get some of the high quality reprints of the original Creepy, Eerie and Vampirella magazines that Dark Horse and Dynamite have been putting out. (These are especially cool because you can check out some stuff from some of the "old" masters like Frazetta and Neil Adams)
You could also try out the Sandman Endless Nights book, has some great artwork and storytelling.
If you are not interested in straight horror should try out Batman: Black and White. The first volume is probably the best, with art from Simon Bisley, Richard Corben and Kevin Nowlan (I'm not normally a fan of Nowlan, but his story in this anthology is excellent).
You can also try out some Hellboy. Because of the weird way that hellboy has been published over the years, some of the early trades have more of an anthology feel. You can try out Chained Coffin and Others, The Right Hand of Doom and The Troll Witch and Others. All of these collections are great and Troll witch even features a stories illustrated by Richard Corben and P. Craig Russell.
Speaking of Hellboy...Does anyone else here read his titles regularly? If not, please try it out, you'll thank me.