The short story is my favorite form - classics, mainstream, science fiction, etc...
Frost and Fire by Ray Bradbury is my favorite SF short story...but I'm thinking "Rescue Party" by Arthur C Clarke may be edging it out.
My current favorite contemporary short story is "Wild Horses" by Rick Bass -- he's an amazing writer.
Markets for short stories are much more limited than they were in the past, many web-based publications these days and many fewer print pubs.
My advice is that if you write them or want to write them to just get with it, start sending them out and at some point in the future collect them into volumes.