I can't think of many fantasy short story anthologies, but check out the more popular tales by O. Henry; short stories being an art form of brevity and delivery, you can gain some great reading, hilarity and inspiration while learning some of the mechanics that go into it. Very interested to see other's recommendations.
Well, of course the Iron Pen Anthology, written by authors from our site! If you want to read tons of short stories, look no further than our MS Challenges section, because there are crap loads of shorts up there, and some of them are truly excellent!