The Step

Fiction ~ short story
Published in the Windsor Magazine, December 1926
Collected in More Spook Stories (1934)
5,505 words
(First read 04/11/2012) 

The Step is unusual for being set in Egypt (Alexandria), and for leaving the reader on the edge of his seat, literally staring into the face of an unspeakable and inexplicable horror.  It also contains a very large well-baked red herring, not something EFB generally went in for much.  These make it, in my opinion, a decidedly superior spook offering¹.
The moment we learn that the protagonist John Cresswell is 'a big plethoric man' we suspect things won't end well for him; when Benson goes on to tell us he practises that absolute-bottom-rung-of-the-ladder profession of money-lending², we know he's doomed.  Anyway, the plot: After a particularly profitable bit of usury, the result of which is his being cursed by the victim's crone of a mother, our 'hero' Cresswell finds himself being followed through the dark streets of the city.  Given that the story has a genuinely surprise twist (for once), I'll say no more about it.
It's available online here.

¹ Mind you, that's not to say it doesn't suffer from the usual defects: it's overlong, the pace is too leisurely, and it's a tad repetitive.
² See also The Money Market (1898).