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 Carterās Bloody Chamber is a great classic creepy feminist story to start with.
Carmen Maria Machadoās The Husband Stitch continued Carterās legacy
Iām 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 Specialistās hat or Skinderās Veil
Shirley Jacksonās 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 āWhen Things Get Darkā, a collection inspired by the tone of Jacksonās 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.
