First, the timeless Scary Stories Treasury (usually in the bargain bin at Borders) by Alvin Schwartz with those uber-creepy illustrations: Scary Stories Omnibus

For younger kids there's the Creepy Classics

The best way to introduce them to the master of horror, Poe, is IMO Gris Grimly's wickedly delightful Tales of Mystery and Madness

Another master of short story horror, Ray Bradbury, does it best in The October Country, which has some really creepy stories like The Scythe, The Small Assassin and Skeleton.

And a personal favorite (and bargain bin find) Alfred Hitchcock's Tales of Terror 58 Short  Stories Chosen by the Master of Suspense

Also, do a search for children's horror anthologies. There seem to be many posted right now.  There's one called Don't Read This Book.  If my students were older, I probably would have snapped that one up just for the title alone. *g*

I suppose I should mention that my students range in age from 15 to 19.  

Sevenspiders, I do have copies of the complete works of Edgar Allen Poe and a complete collection of Ray Bradbury's short stories.  The Alfred Hitchcock book sounds like something I'd like to read as well.  That reminds me of a book I read when I was in high school.  It had Twilight Zone episodes written as short stories.  I'm gonna have to try to find that too.

Frohike, I'm goind to have to check that book out.  Sounds like something my students would like.

The Dark Descent, edited by David G. Hartwell, is chock full of classic horror stories both old and new. Also, if you can find them, Marvin Kaye has some fabulous anthologies that have been favorites of mine for years: Witches and Warlocks; Masterpieces of Terror and the Supernatural; and Devils and Demons. Barnes and Noble also carries several "100" collections which I've enjoyed: 100 Creepy Little Creature Stories; 100 Wicked Little Witch Tales; and my personal favorite, 100 Twisted Little Tales of Torment.

Ellen Datlow and Terri Windling also published The Year's Best Fantasy and Horror for years, and two other authors have taken over the line. If you're interested in fantasy, they've also published several great retold fairy tales in Snow White, Blood Red; Black Thorn, White Rose; Ruby Slippers, Golden Tears; Black Swan, White Raven; Silver Birch, Blood Moon; and Black Heart, Ivory Bones. While we're on the subject, you should pick up a good old-fashioned fairy tale collection - teenagers may be surprised just how horrific some of them are.

Good luck! I just love anthologies.

Edited to add: I just saw on another thread that you like Lovecraft. You could go with any Brian Lumley short story collection (my favorite is Fruiting Bodies and Other Fungi) and also Children of Cthulhu (modern Lovecraftian horror).

Ellery Queen has a few good titles out there but I can't think of one right this minute. I used to read the monthly magazine and remember checking books out of the library. Edward Hoch writing about Nick Velvet was my favorite.

Great suggestions.  Thanks.  I just ordered the Scary Story Treasury (all three books).  I loved reading that when I was young.  I think the kids will like it too.   Keep the ideas coming.  :)