When I was at school, I used to read the collections of SF short stories that they had in the library. I remember that they were from a series called Space (not terribly imaginative for SF). I think I read volumes 4, 5, 6, and 8. They were always very entertaining, and I read them through several times.
Although I continued to read SF after leaving school (if anything I read more because I could afford more books), I somehow stopped reading short fiction.
A couple of years ago I read Allen Steele's Coyote novels, and Charles Stross's Accelerando (brilliant, and available to download from the Internet in pdf format for free here). Both of these were structured as a series of short stories featuring the same characters, and it rekindled my interest in the short story. I've since gotten into the habit of buying the annual Mammoth Book of Best New SF which is an excellent source of short stories.
I've just bought this year's one (number 20) which promises to be a corker. It includes Ian McDonald's The Djinn's Wife, set in the same world as his brilliant novel River of Gods and his previous short story The Little Goddess. It also includes three other stories that I've already read and were great, one by Stephen Baxter, the other two by Alastair Reynolds. Only one thing: take a look at the cover. For those who've seen Firefly/Serenity: does the spaceship look familiar? Not an exact copy, but certainly looks like it was "inspired" by Captain Mal Reynolds' ship, doesn't it?
Another of my favourite anthologies is the Mammoth Book of Extreme Science Fiction, which has some awesome stories. The first one, ...And The Dish Ran Away With The Spoon, explores what happens when household objects are given communal sentience, and is downright bonkers, but astonishingly good. And the rest of the stories are even better.
On the train, I'm currently reading Infinity Plus The Anthology, which isn't as good as the Mammoth Book of Best New SF usually is, but is still quite interesting reading. Still reading Black Man at home. What with the demands of work, my course, blogging and everything else, it's hard to find time to read it.