If you like short stories, and if you haven't already, you must get these two collections:
http://www.amazon.co.uk/Granta-Book-American-Short-Story/dp/1847080405/ref=sr_1_2?ie=UTF8&qid=1300759114&sr=8-2
and
http://www.amazon.co.uk/Anchor-Book-American-Short-Stories/dp/1400034825/ref=sr_1_3?s=books&ie=UTF8&qid=1300759149&sr=1-3
Both of those collections contain essential short story reading, stuff that has really helped me to develop my own writing, and to understand and manipulate stories the way I want to.
I'm surprised nobody has mentioned Richard Yates - Eleven Kinds of Loneliness. Every story in that collection is a favourite.
One of my favourite short stories is called "The Caretaker". I forget who it's by, but it's stunning. Edit: Anthony Doerr - Must Read.
Most disappointing short stories were those by Yann Martel - after Life Of Pi, I expected more, but to be fair they were early on, his first published work.