Katherine Mansfield, modernist snapshots of everyday life, deceptively simple yet powerful.
Doris Lessing's short stories are very good, To Room Nineteen I think was the name of a collection.
Fay Weldon - prefer her short stories to her novels.
M.R James for classic horror.
Ronald Dahl for twisty tales.
H.P Lovecraft for horror/weird
Raymond Carver - American, mundane, bleak but brilliantly and economically written.
An acquired taste, but worth a dip into, is Flannery O'Connor. She usually deals with the uglier side of the human condition, but her stories are extremely compelling, and have a strong religious undercurrent, not in an obvious moralistic way, but it gives them an interesting depth.