I'm delighted to say that I've just had a short story accepted by the Ellery Queen Mystery Magazine. It's set me thinking about the form. There are not many modern writers who devote themselves exclusively to it, though one who did, Edward D. Hoch, wrote over 900 and famously published one in every copy of the Ellery Queen Mystery Magazine for 34 years. Alice Munro and Lorrie Moore are best known for their short stories and there are other writers, like John Updike, who are as well regarded for their short stories as for their novels. Generally speaking though publishers are reluctant to publish collections of short stories and if it is difficult to make a living as a novelist (and it is!) then it is even harder if all you write is short stories. It didn't use to be the case: the late nineteenth century and early twentieth century were a golden age in that respect, think of the Strand Magazine and Sherlock Holmes. And it's a pity because a well-crafted short story can be deeply satisfying for both reader and writer. It is possible to do things in a short story - for instance, write from an unusual viewpoint or sustain a particular tone - that might grow tiresome or be too difficult to pull off over length of a novel. The short story of mine that EQMM has accepted is set in the years following the Gunpowder plot in the early seventeenth century. I've never written any historical fiction before, but didn't feel too daunted when it was a matter of a short sprint rather than a marathon.
The Strand has recently been revived, by the way, and is published in the US, where they seem more receptive to the short story as a form.