I feel the same applies to short stories -- with the constraint a lot of fluff is removed. It's been a while, but I used to subscribe to a few sci-fi magazines and loved it:
I enjoyed the long running "Asimov's Science Fiction" and "Analog Science Fiction and Fact" the most, but the newer "Clarkesworld" was also quite good. If you'd prefer a large tome, go for "The Year's Best Science Fiction" by Gardner Dozois. Ooh, and can't forget http://escapepod.org/
The Year's Best Science Fiction and really all the collections edited by Gardner Dozois are fantastic. Sadly he died but there are years and years and years of great selections.