The thing about short stories is that they are short, and so for those of us who are fast readers desperately trying to escape reality with full-blown immersion in text they sometimes you get to the end just as the edges of life are starting to blur and you are no longer worrying about the cat's overdue vet appointment etc., and this can be frustrating.
That being said, there are three authors whose short stories I return to time after time for my re-reading pleasure (possibly because some of their short stories verge on novellas....)
The Unreal and the Real, from Small Beer Press (2012). If you are a speculative fiction fan, I'd actually start with Vol. 2, set in various places far beyond earth.
I don't often say this, but I think reading Ursula Le Guin has made me a better person (or at least someone who tries to be a better person). She is my favorite author of all, and the most thrilling moment of my blogging career was when she put a link to my review of her novel, Lavinia up on her webpage.
The Serial Garden--these are all about the same family, and they are funny and magical as all get out (here's my review). The title story is one of my favorite pieces of short fiction ever. If you are a grown-up who likes the darker side of things, you could try to posthumous anthology, The Monkey's Wedding and Other Stories. (both of these are also from Small Beer Press).