Read some of Roald Dahl's short stories (for grownups). Just sinister and creepy enough. Clever and sharp.

Anything by Lorrie Moore. "Anagrams" is my favorite.

I recently read Neil Gaiman's Smoke and Mirrors, and enjoyed it thoroughly. I'm currently re-reading Unusual Suspects: A New Anthology of Crime Stories from Black Lizard, which I'd also recommend if you like crime fiction. And then there's Sam Shepard's Cruising Paradise: Tales, which was my first exposure to his writing, and won't be my last.

Not So Funny When It Happened is also a good read, if you like non-fiction travel writing. It's a bit hit and miss, but with Bill Bryson and Douglas Adams on the roster, it's worth it.

Annie Proulx's short stories are great.

Some of my favorite books of SF short stories:
Birthday of the World by Ursula LeGuin
Stories of your Life by Ted Chiang
The Cyberiad by Stanislaw Lem

50 Short Science Fiction Tales (1963 anthology edited by Asimov and Conklin) is very good, but I can't believe how much they're charging for a new paperback – it's not a long book.

If psychological hauntings sound good then The Two Sams. My favorite was Mr. Dark's Carnival. I read it about 5 years ago and I can still remember the whole story.

I've been reading collections of Richard Matheson's stories lately. Combinations of horror and science fiction.

Neil Gaiman's already been mentioned, but he's a winner.

If you can get your hands on a copy of Daniel Pinkwater's Fish Whistle, do. It's a collection of his pieces for All Things Considered, and a few longer essays thrown in.

I'm a sucker for The Year's Best Fantasy and Horror anthologies. They come out...um...every year. The current editors are Ellen Datlow (horror) and Kelly Link and Gavin J. Grant (fantasy), but I like the years when it was Ellen Datlow and Terri Windling (fantasy) a bit more. In fact, any antho edited by those two is a winner, especially the modern fairy tales series (Snow White, Blood Red; Ruby Slippers, Golden Tears; et al.)

Augusten Burroughs's Magical Thinking is also pretty awesome.

Oh, and Ray Bradbury. The Martian Chronicles, The October Country, and others.

Michael Blumlein's The Brains of Rats. It's a bitch to find, but so well worth it. I've read the whole thing once only, and it made my jaw drop, and I've been reading horror since I was about 12. Some of the stories fall short of the others, but when he hits the mark it's visceral. It's like horror taken to it's medical extremes. Clinical. Inexorable. His story "Tissue Ablation and Variant Regeneration: A Case Report." - an opinion of the Reagan presidency is as vile and clinical as a slow-motion guillotining, only not.that.head. He's a physician and can write about it all very properly, and the forced detachment through the use of clinical dialogue brings a strength to the words that few can match. The story ""Tissue Ablation..." is also available in the short story collection SemioText(e) 'SF', also well worth picking up for writers pushing the bounds of writing.
And by well worth picking up, I mean: if you see it, buy it without hesitation. Sure this all sounds like omgfanboi!, but I feel it's the best, so there ya go.

Gaaah... the story I meant to reference was "Shed His Grace." Whatever. Buy it.

Amy Hempel.

Gary Lutz.

Both of them write very short stories. Very well.

Sudden Fiction: American Short-Short Stories.

Seconding the Stanislaw Lem. Also, Stranger Things Happen by Kelly Link- weird, gently surreal stories that are sometimes really funny, sometimes very creepy.

And of course I have to pimp my favorite writer J.G. Ballard, who has LOTS of short story collections... I recommend a "best of" collection, or "The Terminal Beach," or "Vermilion Sands," which is a bunch of stories all set in a fading resort town in the future, in the middle of some unnamed desert. Very dreamlike and awesome.

This great SF anthology usually ends up going on trips with us.

Okay, I'm a bit of a goof, and at times when I'm overwhelmed I prefer light reading. So I'll offer silly ideas, if you don't mind.

These are just fun reading, with some interesting tidbits about different subjects.

I'm a total sucker for Amy Hempl and Augusten Burroughs. I love short stories. Joyce Carol Oates, Louise Erdich, Donald Barthelme (sorry no time to link, possibly sp). Best American Short Stories of XXXX year - I always check out that series.

There are good single-volume complete collections of Bernard Malamud, Vladimir Nabokov, Raymond Chandler, and T. C. Boyle--in addition, look at the recently released three-volume Library of America set that collects all of Isaac Bashevis Singer's stories. (Sorry for not linking, but they're easy to find at Amazon.)

And don't forget Raymond Carver, if you've never read him. Essential.

Aimee Bender's The Girl in the Flammable Skirt completely rethinks the traditional science fiction short story. I absolutely loved this book to death when it first came out (literally: the spine ripped from re-reading my favorite story).

I've been on a Vonnegut kick recently, so of course there's Welcome to the Monkey House and Bagombo Snuff Box.

I love short stories - I'll have to get back to this after I visit my bookshelves.

I loved The Shell Collector (bizarre, absurd, semi-fantastical stories told in a realistic and smart voice)

and
Birds of America (detailed, well-written sad family/life stories)

also, if you like weird, definitely check out The Corpus in the Library. That was my favorite book for a long time.

David Sedaris is highly recommended, any and all but might as well start with Barrel Fever.
i have a ridiculous amount of recommendations if i could find the books or remember them.
The Safety of Objects as well.
Will add as they occur to me.
*ponders future plundering of memories and stacks*

Thanks, all! A couple of the ones mentioned are already favorites, but most are good new suggestions I'm looking forward to checking out.