I will second Cherie Priest's Four And Twenty Blackbirds
And I'll nominate a couple of freebies:
- The Lair Of The White Worm by Bram Stoker
The Lair Of The White Worm (also known as The Garden Of Evil) is a horror novel by Irish author Bram Stoker, who also wrote Dracula. It is partly based on the legend of the Lambton Worm. The book was published in 1911, the year before Stoker's death.
- The King In Yellow by Robert William Chambers
The King In Yellow is a collection of short stories written by Robert W. Chambers and published in 1895. The stories could be categorized as early horror fiction or Victorian Gothic fiction, but the work also touches on mythology, fantasy, mystery, science fiction and romance. The first four stories in the collection involve a fictional two-act play of the same title.