I thought The Monstrumologist was a lot of fun. It's considered YA but that's more of a marketing thing due to there being a young protagonist.
Someone mentioned Peter Straub. I would go with his Ghost Story, or read the short novel that was the inspiration for that book, The Great God Pan by Arthur Machen (I'm sure this is public domain and could read it for free online).
There's always H.P. Lovecraft. Mountain of Madness, Call of Cthulu, and Dreams of the Witch House would be where I would start if you haven't previously read through his stuff.
If you're looking for more recent Cosmic Horror, I would grab a collection by Laird Barron.