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Short stories are the kingdom of 19th century and early 20th century writers.
Writers like Chekhov, Maupassant, Joyce, they all have amazing stuff that is short, specially Chekhov.
Personally i'd recommend Kafka because he's my favorite, In The Penal Colony comes to mind.
If Kafka is too much for you most Sherlock Holmes stories are short stories, The Red-Headed League is very memorable for me.