There are some really great anthologies, though not so “contemporary”: Black Water, ed. Alberto Manguel; The Literary Ghost, ed. Larry Dark; What Did Miss Darrington See?: An Anthology of Feminist Supernatural Fiction, ed. Jessica Amanda Salmonson.
Fludd and by Hilary Mantell. She's now famous for Wolf Hall but this early book of hers is just wonderful. Also Into Black by the same author
The Minotaur Takes a Cigarette Break by Steven Sherill
Good Omens by Pratchett and Gaimon
Totally with you on Too Loud A Solitude - I spend a lot of my time in the Czech Republic and they love the surreal. Of course there is always Kafka