Once again not my best subject. I'm not a big short story fan and I was all set to chose Neil Gaiman here (because he's one of the only people whose short stories I can think that I've read) but then I remembered a marvellous book which is actually a collection of vignettes. It's also a bit of a cheat to treat it as a collection of short stories because the pieces do (in a way) form a cohesive whole, and also because it says it's a novel on the cover.
My pick is David Levithan's A Lover's Dictionary. It's the story of a relationship told as a non-linear series of moments; a word and then the relationship as it pertains to that word. Some entries are only are only a few lines, and I don't remember any as being longer than a page or two. It is lovely - the kind of short book you read in a single sitting, the kind which leaves you with the sense of a story you can't quite grasp rather than one which tells you what happened.