Gene Wolfe writes a lot of good short fiction. Some of it is more SF, some more fantasy.
Also there's a yearly "Year's Best Fantasy and Horror" which doesn't help you if you don't like horror.
Harlan Ellison writes a lot of good short fiction, too, but it tends more towards the SF/speculative side, although some of it is really fantasy.
There is (or used to be) a yearly collection of short stories called "Sword and Sorceress" that was edited by Marion Zimmer Bradley until her death. All of the protagonists were women, and the quality of the stories varied enormously but I remember some gems in there.