Jeffrey Archer has a collection of short stories titled A Twist in the Tale. But all of them are included in the release of his Collection of Short Stories. Many of them are enjoyable even w/o the twist at the end so you may just want to pick it up. Probably find it used on ebay or half.com

I just picked up his short story collection, really diggin it so far. More then that I'm completly shocked that a book by a "new youk times best selling author" is actually a good read.

And thanks everyone for adding to this, I've got some reading ahead of me...

For literary fiction with twist endings, you can't do much better than this anthology:

The Best American Mystery Stories of the Century
http://www.amazon.com/gp/product/0618012710
(Content list
http://ftp.ev1.net/~homeville/msf/t87.htm#A1352

"After 20 Years" by O Henry had a twist ending, and remains one of my Top 10 non-Stephen King short stories.

Speaking of O. Henry, this book is great: http://search.barnesandnoble.com/boo...60781227&itm=1 (published by Barnes & Noble, so it's cheap, but at nearly 1500 pages, it's the most complete edition of O. Henry's fiction, and is a surprisingly sturdy and readable tome). Highly recommended. Also, the Poe book from the same series.

Anything by Phillip K. Dick.

The OP asked for short stories and I guess Lafayette Ron Hubbard's "Fear", from back in 1940, qualifies. It is a long short story and certainly shorter than a novel!

Jeffrey Archer has a (relatively) new release called Cat of Nine Tales which is a collection of a dozen short stories. I've read about half of them so far and they are pretty good. About 9 of the twelve he picked up during his prison stint.