Among more recent literature I'd have to say The Dice Man by Luke Rhinehart, The Perfume by Patrick Süskind, House of Leaves by Mark Z. Danielewski and American Gods by Neil Gaiman. Gaiman also released some cool short stories, Nicholas Was... being one of my favorites.
I also love most of Edgar Allan Poe's work, and to some extent M. R. James and H. P. Lovecraft as well.
Another short story that I've always found interesting, said to have been written by Hemingway, is...
It sums up one of the reasons I'm a big fan of well written short stories, where with just a few words/pages you can convey a much more complex story than the work itself describes.For sale: baby shoes, never worn.
Let's see how many replies are posted before this thread is buried.