I have not read a lot of Blackwood though I agree with H. P. Lovecraft that his story The Willows is a masterpiece of horror. Now, having read three of his six John Silence sories, I am eager to make a full introduction to this man's works.
Dr. John Silence is best described as a doctor of the psychic world, a Sherlock Holmes of hauntings and psychic phenomenon and these stories are an interesting introduction to him (the rest of the Silence adventures are continued in Three More John Silence Stories also available through ManyBooks).
In A Psychical Invasion, the reader is introduced to the techniques of the good doctor with a story that is the least rewarding of the three. However, it serves as a good foundation for the remainder of the stories.
It is in Ancient Stories that Blackwood really shines and as he tells the adventures of the narrator trapped in an eerie French provincial town, he presents a story with such a strong atmosphere of awe the reader cannot help but be strangely moved just by the prose.
The Nemesis of Fire broadens the worldview of Doctor Silence and as Arthur Machen, Blackwood's contemporary, wrote his fantasies in a mystical Christian worldview, Blackwood's writings are solidly based in a universe that is roughly Theosophist, but universal enough to include occult adventures from Egypt.