My favorite short story writer is Harlan Ellison, although his work isn't something I'd recommend for everyone. Most of his stories fall into the speculative fiction genre. Some of his stories have been very controversial, some have been very successful, and some have been both!
My favorite of his short story collections is called The Beast that Shouted Love at the Heart of the World. I have an autographed copy that I got for Christmas! However, my favorite story is not in that collection. My favorite of his stories is called I Have No Mouth, and I Must Scream. If the title doesn't give it away...it's kind of freaky, hahah.
P.S. If you're interested in some extra reading, I found this article with a writer talking about his top 10 favorite Harlan Ellison stories. I don't agree with his list 100%, but it's interesting either way :)