Reddit mentions of Selected Stories

Would you like to read a collection by a guy who, in the early 20th century, looked at all the chaos and tumult in the rapidly changing world and thought, "you know what's terrifying? Advertising." No? How about a guy who writes titles like, "Catch that Zeppelin!"
The Selected Short Stories of Fritz Leiber

Very much an anthology, a favorite of mine:
Worlds Apart: An Anthology of Russian Fantasy and Science Fiction
The above is essentially a single volume seminar course. The editor has supplied a lot great, readable, fascinating, insightful commentary. He almost just writes a review paper but, instead of quotes, he just uses the entire fucking story. If you are academically inclined and you love the madness of Russians, this is a dynamite book.

I'm really enjoying this at the moment:
Feeling Very Strange

I have two words for you, my friend. It helps if you imagine them with this echo effect
"SPAAAAAAAACE CAAAAAAAAAAAATS!"
Seriously though, it's a great collection. Smart, fun, ambitious, thoughtful, well crafted. The guy is a treasure.
The Complete Short Science Fiction of Cordwainer Smith