I second the collection edited by Sedaris. I've read two of his books and thought they were very funny and so would be interested to see what he's chosen.
I third the Munro; I've been close but haven't read anything by her yet and this would be a great place to begin.
Finally, I nominate-
Close Range: Wyoming Stories by Annie Proulx. I've wanted to read this for a long time now. She's won the Pulitzer and other prizes for her writing and this collection includes the short story Brokeback Mountain from which the film was adapted.
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