Leviathan Chronicles isn't really horror... More science fiction mixed with CIA agents and a bunch of immortal people living in a city deep down in the ocean. But I personally love it... And am just waiting for the second half of season 2 to be released so I can buy that as well.
Dark Adventure Radio Theatre has made a few of H.P. Lovecraft's stories. These aren't free, though, but you can listen to some demos on their website.
I haven't, unfortunately, listened to that many English audio dramas, but when talking about that genre with people I'm always recommenting both WA and LC, if they're into horror/zombies or sci-fi.