Well, 'The Call of Cthulhu' by Lovecraft is a must - mention in the sci - fi horror short story category. It has this huge, Lovecraftian monster that lurks in the shadows of our world. 'Second Variety' by Philip K. Dick is also very interesting. It's set in a post - apocalyptic world where robotic killers are a major threat. Additionally, 'The Cold Equations' by Tom Godwin is a story that shows the harshness of space and the moral dilemmas it can bring, which has elements of horror in it too.