The Legend of Sleepy Hollow by Washington Irving, for all your headless horseman needs. The Tim Burton movie is good too, but too camp to be actually scary. Johnny Depp is pretty good value though.
Also,
From Hell by Alan Moore for Ripper adventures. Read the graphic novel and avoid the film (again with Johnny Depp, but bloody awful Dick van Dyke accents from the American cast).
Like Sleepy Hollow, I don't know if this properly counts as Gothic horror as I always imagine that to be more high Victorian, but try and find a dvd of
The Company Of Wolves. It often gets dismissed as a kid's film as its basically a retelling of Red Ridinghood, but it is dark, dreamlike and in parts very disturbing (check out the banquet scene where the guests start transforming

).