I haven't had much exposure to short stories but I like the general concept : works great with a short attention span, readable in a subway ride, and are generally amusing.
What I like most about the format is that making the story 'short' keeps the writer focused on making it 'to the point'. Often times books will come up with a 'point' or a central theme and continue to expand on it throughout the book though various literary deviced. Some books really take to 'beating a dead horse' for a while. Invisible Man by Ralph Ellison is a good example. The short story format, at least in K. Vonnegut's case, does not permit this.