It's been a while since I read short stories...
I remember laughing to tears reading the works of Saki (I think it was The Complete Saki published by Penguin). It's one of the few books that survived my moving to Japan, mainly because they were at my parents' house when I sold all the books I had in my apartment. I keep meaning to read them again but haven't done so for several years.
Also, I read a book of short stories (Self-Help) by Lorrie Moore, again many years ago, and liked them a lot at the time.
I have heard of Raymond Carver as a great writer of short stories, but I don't think I have read any of his works.
Finally, I'm not sure this counts as short stories but Cannery Row and Tortilla Flat by John Steinbeck are, as I remember, a great collection of stories about people living in Monterey, California.