The Short Story Format

Today I was chatting via Twitter with Gav from Next Read and Lee Harris of Angry Robot Books fame - the subject in question was the Short Story format.

It came up because of two related comments. First off Sam Eades from Headline Books announced a short story collection from Neil Gaiman - untitled at present, but with some truly stellar names included (Joe Hill, Peter Straub and Michael Moorcock amongst them). Secondly, Gav quoted from a source: "People treat short stories like decorative tea towels - nice to have but never used."

I realised that my education in the field of short stories is woefully slight, and so I am interested to hear from those with more experience: which short story collections are worth picking up?

My only experience in the short story format is 'What You Make It' by Michael Marshall Smith - and I've picked up but not read yet 'A Touch of Dead' by Charlaine Harris (mostly because I adore the Sookie books and want to complete my collection) , but that is the lot.

Other than these, please provide your personal favourites!