Well, most of Charles L. Grant's books are fairly short (to quite short). They're more "quiet horror" than blood-and-thunder, but well worth a look. You might try his Oxrun Station series of books, which are of varying types, but all set in the same milieu.
For fantasy... I'd also suggest Alan Garner (yes, he wrote some YA, but it's damn good fantasy, nonetheless) or Thomas Burnett Swann... that last you'll have to get in second-hand editions, as I don't know what (if anything) of Swann's is in print these days, but I'd argue darn near all of it should be. A unique writer, with a special voice that was stilled much too soon.
SF... Most of the sf from the 1940s-1970s was of fairly brief length; a lot of it was very easy to get into, and a fair proportion of it is still well worth looking up for an enjoyable story and some mental stimulation... and you may be surprised how often you'll find some real gems in there, as well. I'd suggest, for instance, Edgar Pangborn's A Mirror for Observers, or Fritz Leiber's The Big Time.
And then there are the many writers who focus largely on the short story which, though an increasingly neglected form these days, well repays examination. Some of the best of all three fields can be found in shorter tales....
