Tough, because I rarely read short stories until they're in collections, but with a Nathan Ballingrud collection coming next year some other writers I've been keeping an eye out for collections from include:
Genevieve Valentine -- loved her novel; can't wait for a collection of her stories
Tia V. Travis
Lynda E. Rucker
I'm not sure all of them have a large enough body of work to assemble a good collection, yet, but I'd imagine at least a couple of them have.
I'd also like to see English translations of Mélanie Fazi's collections.
Yeah, seconding the Melanie Fazi request. She's awesome.
I second Nadia. She wrote a kick-ass Lovecraftian story for Innsmouth Magazine a few years back.