Science fiction and fantasy seems the ideal genres for the short story. If it's true, as publishing mythology suggests, that short story collections don't sell, an awful lot of people are missing out. Sadly, though, this means the best collections are often out of print - it's worth hunting around for a copy, though.
 

Algis Budrys

The Furious Future -  
A superb collection of short stories. Although dating from the early 1960s, the topics are fresh and only the way many of the protagonists smoke - no longer politically correct - dates this collection. These are stories which deliver more than the expected, whether you are sharing the decision of the descendants of a crashed ship to give their children the abilities to survive on an inhospitable world (and to feed on their parents) or the way a wonderous discovery of a soul mate with the same psychic ability could become a nightmare. Not heavy stuff though. Out of print, but copies available from Amazon Marketplace (under 'More Buying Choices') after clicking the store/shop button.  New 14 April 1998

Joe Haldeman

Dealing in Futures
A collection of short stories that provides a good demonstration of Haldeman's flexibility. They vary from a 50 page novella to poetry, with a solid collection of shorts in between. One came from the original Forever War, which was removed before publication as a book. Others range from the whimsical to the hard SF. Good stuff.

H. G. Wells 

Complete Short Stories.
Some superb SF gems in amongst a mix of bleak and fascinating tales. Not all science fiction - Wells was equally adapt at horror and other genres - but all worth the effort. New 17 July 2001

Gene Wolfe

Endangered Species -
A wide-ranging collection of short stories from science fiction to fantasy, this is simply a great read.  Out of print, but copies available from Amazon Marketplace (under 'More Buying Choices') after clicking the store/shop button.

Innocents Abroad -
These superb short stories rely on taking a largely real world situation and giving it an unnerving twist. Wolfe has taken the torch of sophisticated fantasy and horror from Ray Bradbury and is holding it high. While he has none of Bradbury's whimsy, he has all the genius. It's not uncommon to finish a story and think "what happened there?" Its necessary to need read slowly, appreciating all the nuances. One of the best books of the year - simply brilliant.  New 14 June 2004