In my experience, all directors (no matter how acclaimed) have a few stinkers in their film resume, so my advice would be maybe research each film before committing to buy their entire catalogue!
Concerning horror, here are a few suggestions from me:
Dario Argento
Mario Bava
John Carpenter
Terence Fisher
Lucio Fulci
Michele Soavi
Obviously, these are extremely subjective examples as there will be plenty of horror fans who would possibly not rate one or more of the above choices.
Also, not strictly horror, but David Cronenberg is definitely worth looking into, in my opinion.
