j.d. and others have scooped most of mine - Healy/McComas, Boucher, SFWA HOF, Hugos, etc. (And put me down as someone who seethes a little on the anthology/collection issue.)
I'd add Chairman Bruce's
Mirrorshades. I completely agree on the Dozois suggestions but, prior to that (and briefly alongside), Terry Carr's annual anthologies were good. I never really read his
Universe books, but they're probably good too. Asimov and Greenberg's
The Great SF Stories are just that. A relatively recent subgenre anthology that I thought was great was Dozois'
Galactic Empires, which I've mentioned on some thread or another. But it's not as general or comprehensive or retrospective as most truly essential anthologies. It's just really good.
There are probably several more that I have but haven't read, so I may add them later if they live up.
Thanks for resurrecting this thread, a.