I am a short story addict. I don't know when this happened, exactly. However, I suspect my "gateway" story was A Very Old Man With Enormous Wings by Gabriel Garcia Marquez.
In the story, a villager finds an old, decrepit, dying man with enormous, yet lice-ridden and bedraggled, wings in his courtyard. The projectory of the story is how he, his wife and other villagers react to the presence of the old man, alternating between fascination, revulsion, indifference, and cruelty.
What spurred my imagination, however, was what the story didn't say. I think I read once that, while novels create an entire world for the reader, a short story is more like a small island, or iceberg. What we see on the surface eludes to a whole world unspoken beneath it.
I won't spoil Marquez's story with my own interpretation of the unspoken world beneath it; I'll simply suggest it as an incredible, magical, gritty and thought-provoking piece of literature. Here are some of my other favorite collections:
What We Talk About When We Talk About Love, by Raymond Carver.
The Complete Stories, by Flannery O'Connor.
The Moons of Jupiter, by Alice Munro.
Victory over Japan, by Ellen Gilchrist.