Neil Gaiman's place on my personal "favorite authors list" is cemented firmly by _Smoke and Mirrors_, a versatile collection of his short stories and narrative poems. There is a wide variety of "types" of story here, from fantasy to horror to mystery to wildly hilarious comedy. I liked almost all of them.
Neil Gaiman's two finest gifts are (1) humor, and (2) truly scary horror that gets under your skin rather than just grossing you out with gore. He flexes his humor muscles with such outstanding fare as "Chivalry" (the story of an old woman who buys the Holy Grail at a thrift shop), "We Can Get Them For You Wholesale" (about hit men with discount rates), "One Life, Furnished in Early Moorcock" (about a young boy and his love for fantasy novels), and "Shoggoth's Old Peculiar" (believe it or not, a *funny* Cthulhu story, about strange towns, getting drunk, and Things that live under the ocean).
As for horror, there is the story in the intro, "The Wedding Present", which is sort of a "Marriage of Dorian Gray", plus several other standouts including two of the narrative poems, "The White Road" (a montage of Bluebeard tales) and another, whose name I forget, about a woman who is vanished by a magician and _never reappears_. Truly creepy and hauntingly sad as well.
I could sit on this computer for another hour listing good stories from this collection; however, you'd do better just to buy the book. If you like psychological horror, dry humor, or anything of the sort, you'll love this.