I am a big short fiction reader, and have always been. I love being able to hop in, geta full experience, and move on in a single sitting. Or take a long, hot bath and read an entire novella. That kind of thing.
These are all single author collections, as opposed to multi-author anthologies. I prefer collections, in general, because, while they may vary wildly in terms of content and quality, they tend to be more cohesive, less jarring. Not to say there aren't some amazing anthos (this is what foreshadowing looks like)...
You'll also notice that these are mostly horror. I feel horror is often best at shorter lengths, giving short, sharp shocks before disbelief can set in. Novellas please me because you have just enough space to flesh out a few characters and give your story depth, but not enough to wander too far off course.
Anyway, a few faves...
1. Strange Wine - Harlan Ellison
My first Ellison, recommended by Stephen King in Danse Macabre. Contains some of his best, weirdest works, but any Ellison is worth picking up. Still, this has a story about a nice Jewish boy whose dead mom is still trying to run his life. For his own good, of course. How can you resist?
2. Different Seasons - Stephen King
Four novellas, all amazing. Yes, my favorite is "Rita Hayworth and the Shawshank Redemption," but"The Breathing Method" is a close second. I love club stories, and this is one of King's rare forays into that sub-genre.
This is, to my mind, King's most consistent collection. All of the others have at least one dud. Not this one. There's a reason three of these four tales have been made into great movies.
3. Tales from Nightside - Charles L. Grant
Another one highly recommended by King (he wrote the intro), and another that introduced me to one of my favorite authors. One of the masters of "quiet horror," Grant wasn't much one for gore, preferring to imply some truly terrifying things. Dark and disturbing, with a few weird turns here and there.
4. Fragile Things: Short Fictions and Wonders - Neil Gaiman
I love almost everything I've read of Gaiman's, but this is my favorite of his collections. Not much more to say about it, really, it's just great.
5. Night Music: Nocturnes Volume Two - John Connolly
Read this last year, and loved it. Everything from literary fantasy to Ligotti-esque horror to true-life hauntings, all in one beautifully written package. Still need to read more Connolly.
6. Owls Hoot in the Daytime & Other Omens: Selected Stories of Manly Wade Wellman (Volume 5) - Manly Wade Wellman
All of the Silver John stories in one place. One of my favorite series characters, John is an itinerant balladeer who confronts various bizarre happenings during his wanderings through Appalachia. There's nothing quite like this out there.
7. 20th Century Ghosts - Joe Hill,Christopher Golden
If this only had the title story and "Pop Art," it would still make the list, but there's so much more, too. Those two are sweet and sad, but the rest gets pretty damn dark while still keeping a bit of wonder.