I have to say Arkham Asylum was just creepy, and so was arkham asylum madness.A Serious House on a Serious Earth was more creepy than anything else. Never read Madness.
Madness was creepy and just unsettling. the art was very strange.
Some of the Conan comics based on the original Howard stories (such as The Scarlet Citadel) qualify as horror stories, in my opinion.
have you ever tried collecting boxed editions of the following series(now available on DVD- Tales From The Crypt. Tales From The Darkside, Night Gallery- all save "Night Gallery's" Vol 2- should be for sale oneither side of the Atlantic)?