Neofolk, Dark Ambient, Dark wave and similar.

Current 93 - Calling For Vanished Faces
Death In June - DISCriminate
Sol Invictus - The Giddy Whirl Of Centuries
All three of these are 2CD career compilations and make good introductions.

Edit: Also, Coil has a good 2CD compilation, "The Golden Hare With A Voice Of Silver". That's dark electronic, though.
 
Also EVERYONE who likes ambient listen to Aube.

Discogs.com said:
AUBE is a solo project, begun in 1991, by Akifumi Nakajima. Taking a minimalist approach for his recordings, Nakajima uses simple source sounds which are fed into his system, then heavily processed into a vast, dimensional, landscape of sonic textures. Source sounds can range from the organic sounds of gurgling water, to isolating elements of technology, such as the curious hum of luminous lamps. The result is a mixture of controlled manipulation and beautiful accident. Since May of 1992, Nakajima started and continues to operate G.R.O.S.S. - his own cassette label dedicated to releasing experimental music, and noise, in addition to his own recordings as Aube. He has worked on recordings with artists from Japan, Europe and the United States in various different capacities and has designed packaging for many other releases.

Some good CDs out of his gigantic discography:

Magnetostriction (sound source: magnetic resonance spectroscopy waves)
Cardiac Strain (sound source: human heartbeat)
Flare (sound source: humming glow lamp)
Embers (sound source: fire)
RM4 (sound source: rusty metal)
Infinitely Orbit (sound source: monophonic synthesizer)

There's more but find them yourself. The guy's a genius.
 
As I fucking hate compilation albums, I'll make my own suggestions.

Current 93 -- Thunder Perfect Mind, Island
Death In June -- But, What Ends When The Symbols Shatter?, Operation Hummingbird, 93 Dead Sunwheels
Forseti -- Erde, Jenzig, Windzeit
In Gowan Ring -- Hazel Steps Through A Weathered Home, The Twin Trees
Nest -- Woodsmoke, Wolves Of Timberline split
Sol Invictus -- The Devil's Steed, The Blade, Death Of The West
 
I'm new to these genres, but I've been doing a lot of listening. My favorites so far:

Neo-Folk:

Current 93 - Thunder Perfect Mind, All The Pretty Little Horses
Nature & Organisation - Beauty Reaps the Blood of Solitude
Sol Invictus - Lex Talionis, In The Rain, The Death of the West
Of The Wand & The Moon - Lucifer
Fire & Ice - Guilded by the Sun, Midwinter Fires
Nest - Woodsmoke
Death in June - But What Ends When The Symbols Shatter, Rose Clouds of Holocaust

And, if Dead Can Dance count, get the following: Aion, Serpent's Egg, Within The Realm of the Dying Sun