Arthur Machen 
Three Impostors [PDF ebook] 
Or, The Transmutations

If you’re looking for a good scare but prefer horror of the psychological type to gory, bloody tales, Welsh-born writer Arthur Machen’s The Three Impostors is just the ticket. In an interlocking cycle of stories, Machen masterfully ratchets up the suspense until the connection between the narrative threads becomes horrifically clear.