Of all of Lord Dunsany's many strange and wonderful fantasy stories, there is one that has always haunted me. The House of the Sphinx is very short, only three pages long in the collection Wonder Tales, and yet, whenever I read it, I always get a feeling of ineffable unworldliness that I've never found in longer works by other authors.
Perhaps, as is fitting in a story featuring a Sphinx, much is left unexplained. An unnamed narrator is fleeing a dark and horrible forest. He takes shelter in the House of the Sphinx. The sphinx ignores him but some terrible deed has been done in the house recently and the results of that deed are hidden under a cloak. What the deed was is never explained, but perhaps (and perhaps not) as a result of it the narrator learns that "some imperious and ghastly thing was looking for the Sphinx, and that something that had happened had made its arrival certain."
The narrator at first attempts to see if some defense can be mounted against whatever is coming and after deciding there's nothing he can do, he flees back into the dread forest. As I said, creepy and hard to explain. However I can send you to read it yourself. The story is online here:
But be aware, Dunsany is habit forming. H.P. Lovecraft was a huge fan of Dunsany's work, and it shows in a lot of his non-Cthulhu Mythos stories, though I usually find Clark Ashton Smith's tales to be closer in spirit to Dunsany's than anyone else's.