Many of Bruce Coville's MG/YA collections and anthologies have odd ones that linger in the memory. Wide variety of tales, from silly to serious to downright disturbing, and they don't always end nicely.
Also:
The Anything Box, by Zenna Henderson. Read it over 20 years ago, and some of them still linger...
And a couple I remember reading but which may be tough to track down...
"Dancers Like Children," by Kristine Kathryn Rusch - SF tale of a man sent to a mining colony planet to determine if the native sapient aliens are killing human children. The ending really sticks with you...
"Fable Blue," published around the same time, but be danged if I can find the author - A story told from the POV of jellyfishlike sapient marine beings, and their first contact with the surface world.