My own love of horror and speculative fiction started with late-night replays of old radio shows on a local am broadcast, shows like "Dimension X", "X minus 1", "The Whistler", "The Hall of Fantasy", and "The Inner Sanctum." I was also a fan of the less terrifying but notably quirky, off-kilter broadcasts, when I could find them, from the ZBS foundation, especially "The Fourth Tower of Inverness." It is perhaps because of this background that while I enjoy reading these kinds of stories as well as watching movies and television shows that feature them, my own bias is that the best way to experience a good chilling tale is hearing it, whether it is as if you are exchanging stories around the proverbial campfire , listening to the stranger on the barstool next to you, or having someone read you a bedtime story. I've had multiple stories produced on various podcasts, and I've been deeply impressed with the wonderful job these shows and their narrators and voice actors have done to bring the tales to life. Embedded links to each story on Spotify can be found associated with the respective podcast, as well as a link to the respective podcast's homepage.
There are a lot of good ones out there that I enjoy, and the list here is some of what I listen to or have listened to and recommend. If you have others you'd like to suggest, I'd be happy to take a listen and add to the list.