Heart of Darkness, Joseph Conrad
Sherlock Holmes stories, Conan Doyle - much better, to my mind, than the full-length SH novels
Chekhov - it's a long time since I read some of his collected short stories but I really enjoyed them at the time
Metamorphosis, Frank Kafka
Diary of a Nobody is quite short. I've read it many times and nowadays often just pick it up and dip in a random. It never, ever palls for me. One of the funniest books ever written but so well observed too.
Most Evelyn Waugh novels, the early ones anyway, are quite short and all the better for that. Brideshead is my least favourite of his books, not least because I think it's too long. Decline and Fall is either his first or second novel and very short, as I recall. He also wrote some excellent short stories. I have a collection I probably bought in the 80s. Don't know what's available now, but the one that sticks in my head are Mr Loveday's Little Outing. I suspect Waugh is a Marmite author but I love his books.
A Dance to the Music of Time is a sequence of 12 novels published 1951 - 1975 by Waugh's friend and contemporary Anthony Powell, whose early books are all nice and short, by the way, and also worth reading if you like early/mid 20th century fiction, as I do. However, I mainly want to recommend Dance as it's one of my favourite works of fiction of all time. You can read each book as a stand alone work, but you should read them in order, as the character development across the whole sequence is absolutely masterly. It might just scrape in here as none of the books are particularly long.