The story that did get me going is 'In the Same Boat', where two people have extreme anxiety states over a recurring dream. It was the anxiety state that started me feeling panicky, FTR, not the dreams.
Real life ghost stories scare the bejasus out of me, because, well, they're real. Someone saw them. Fictional ghosts do it too, because they recall real stories. (That may be why gothick ghosts don't: too adorned with stylistic trills, too unlike life.) MR James drives me into gibbering fits not merely because of his ghosts, but because of their setting: the cozy, overstuffed, claustrophobic late Victorian world where all sorts of horrors lurk behind the aspidistra. Freud was so much a product of his time, and his time was one of suppressed middle-class hysteria. Sherlock Holmes, read in childhood, had that same sense of tendrilling darkness and real-life grime to it; to a lesser extent, so did Chesterton. Holmes now reads just fine, and Father Brown very very weird indeed.
I do have to wonder how many of Kipling's weird tales read weird at the time because they were set in India and played out against people's notions of what India was like. To be honest, I get the feeling that Kipling himself was describing personal emotional states experienced there-- however cocooned your colonial bubble, heat is heat and the foreign is foreign and a Tokyo July does weird things to the mind; but the tendency in England must have been to project them onto the country itself. Is why I never got what Conrad was on about in Heart of Darkness: I thought the horror was the colonial exploitation, but he seemed to think it was something else. Not having figured, as I did way back with the Calormenes, that the outsider's weird and nightmarish and evil is the insider's everyday domestic.
I then made the mistake of not reading Judge Dee but a Kinsey Millhone from the Front Lawn Library, and was at once precipitated into *my* notion of weird and nightmarish and evil, which is southern California.