When I read short stories, my preferred venue is anthologies. While some magazines are fantastic - the now-deceased Marion Zimmer Bradley's Fantasy Magazine was one of the best publications ever; I have an abiding love from Andromeda Spaceways, I recently picked up Talebones and was pleasantly surprised that I actually *liked* dark fantasy ... - I find anthologies more appealing. The unified theme, the opportunity to see several authors' take on the same topic (another reason I like the fantasy-writers.org monthly challenges), plus the fact that anthologies seem to avoid the bizarre and experimental, the surreal stories that seem predominantly designed to make the reader realize that the author is far more profound than they are.
A quick sampling of the anthologies on my shelf:
Murder By Magic - a melding of the supernatural and sleuthing, written by both speculative and mystery authors
Twice Told Tales - fairy tales told from the perspective of the losers
My Big Fat Supernatural Wedding - fantasy stories involving marriages and weddings
Sword & Sorceress XIV and XXI - sword and sorcery stories with strong female protagonists
Cosmic Cocktails - science fiction stories set around/involving ... bars and taverns
Thou Shalt Not Kill - mystery collection involving priests, either as suspects or investigators