The Collected Short Stories of Saki (Wordsworth, $6). You only have to read "Sredni Vashtar," the story of a loathsome woman and her persecuted ward, to know that you're in the hands of a master with the writer born Hector Hugh Munro. Cat aficionados, however, will tell you that "Tobermory" is a work of genius that will make your whiskers twitch.
The Best Early Stories of F. Scott Fitzgerald (Modern Library, $10). Anyone who has read The Great Gatsby or Tender Is the Night won't be surprised to find that the great novelist also excelled in the short-story form. My favorites are "The Diamond as Big as the Ritz" and "Bernice Bobs Her Hair." Fitzgerald's short stories exhibit such economy of prose, and such wit, all in a few pages. If you've never gotten around to reading him, there's no better way to find out why Fitzgerald stands the test of time than by reading this collection.
The Gift of the Magi and Other Stories by O. Henry (Capuchin, $15). Henry was an American short-story master, which is why he's on the curriculum of every school and university in the land. My favorite of his stories is "The Gift of the Magi"—what a twist. But many others fight for second place. Even if you aren't trying to get into a university, read these stories for the sheer pleasure they give.
The Necklace and Other Tales by Guy de Maupassant (Dover, $3). V.S. Pritchett, who knew his way around a short story, wrote that "The Necklace" was among the greatest short works ever written. But beware, elements of "La Parure" can get lost in translation. De Maupassant, a Frenchman, wrote more than 200 short stories, so it may take you some time to get through them all in one language or another. Doing so is worth the effort.
Malgudi Days by R.K. Narayan (Penguin, $15). You're either a fan of the great Indian storyteller or you've never heard of him. If you're the latter, start with Malgudi Days, and you'll understand why Graham Greene believed that Narayan deserved the Nobel Prize. Of course, many of us can't understand why Greene didn't get it.