My favourite short stories tend to be creepy or magical. I think due to the necessary open-endedness of short stories, it lends itself most to mystery and magic.
Angela Carter’s Bloody Chamber is a great classic creepy feminist story to start with.
Carmen Maria Machado’s The Husband Stitch continued Carter’s legacy
I’m a HUGE Kelly Link fan, but her stuff is very strange so might not be for everyone, but my favourite of hers is probably The Specialist’s hat or Skinder’s Veil
Shirley Jackson‘s The Lottery is also a classic, and if you like creepy stories and want a good overview of writers in that genre, I recommend the collection “When Things Get Dark”, a collection inspired by the tone of Jackson’s work; it features Kelly link, Carmen Maria Machado, Joyce Carol Oates, and loads of contemporary short story writers. I discovered the story Tiptoe by Laird Barron through this and its possibly my favourite creepy short story, it sent full shivers down my spine in a way no other story had.