My favorite 3 (darn, so limiting, oh well):
"Diary of a Madman" or "The Portrait" by Nikolai Gogol
"The Gift Of The Magi" ... by O. Henry
"The Metamorphosis" ... by Franz Kafka
Note that here, within LitNet, we have some awesome short story writers, Captain Pike and Steven Hunley come to mind first. A lot of talent, right here at your fingertips!