Giant chunks of mystery/adventure are going to fall into that criteria. Most of them prior to WW2 were originally written in magazines, and then later compiled into anthologies. Others written later in time were originally written for other people's anthologies, and then, when there were enough short stories, compiled into the author's own anthology. I know you say you like present-day stories (by which I take it you mean things written in the last 5 years?) but you cut yourself off from a lot of great, readable stuff, especially from the early/mid-20th c.
On the fantasy/sci-fi side of things-- the Conan stories, for example. A lot of Miles Vorkosigan stories are either short stories or novellas.
On the mystery side of things--- Nero Wolfe, as was suggested, for sure. And then a bunch of the other famous ones-- Sherlock Holmes, Peter Wimsey, Miss Marple, Poirot, Harley Quin, Parker Pyne. There are two Selena Mead books I really enjoyed-- one was a short story anthology, and the other was a novel, except each chapter had originally been published as a stand-alone story. So there was a very nice payoff at every single chapter, which you don't normally get...