For literary horror, I have to go with Poe and Lovecraft. For theatrical, Vincent Price.
"Master of Horror" is a pretty vague title. I would agree with Petra that Vincent Price is pretty much synonymous with horror in the movie world, and even bleeds into literary stuff with his love of, and performance of, Edgar Allen Poe's works.
If you haven't seen "An Evening of Edgar Allen Poe", I highly recommend it- live performance of Vincent Price telling 4 Poe stories.
It's hard to have a master of movie horror, because they seem to come and go. Carpenter was awesome from 1978 to about 1983 or so, and then he started to make things like "Ghosts of Mars", "Vampires", and others. But his works that include "Halloween", "The Fog", and "The Thing" are among the best.
George Romero (and here I go risking a flame attack) really doesn't do that good of work. Night, Dawn, and Day are fun, iconic, cult classics, but "Monkey Shines", "The Crazies", and his others are actually kind of.. meh. "Creepshow" was also good, but hey- he was working with Tom Savini and Stephen King.
"Land of the dead" sucked balls in a most unholy fashion. KNB's effects were awesome, but the writing and characters were terrible. I would like to see the new one, but most of his stuff just doesn't reach the level of mastery.
Wes Craven... Hmmm.... "Nightmare on Elm Street", and.... that's about it. "Scream" was about as scary as a Halloween episode of "Dawson's Creek", and like Romero, I just wouldn't say that any of his stuff beyond Freddy's razor glove has been "mastery".
Who's stuff has? Hard to say without actually looking into it more than just sitting here typing this. I mean, I love Roger Corman, and he's legendary, but it would be hard to call him the "Master of Horror".
I'll have to watch a bunch of horror movies now, and do some research!
H