May is "Short Story Month."
When I was in New Orleans for Saints and Sinners, I bumped into Chelsea Station, via Jameson Currier. Chelsea Station is a new magazine (two issues thus far) which of gay writing. It's not limited to fiction, or even prose - it features poetry, memoirs, essays, reviews... You name it, so long as it in some way relates to gay literature or gay men. Having perused only about a quarter of my copy so far, I can definitely speak to the quality thereof.
This is the second gay magazine featuring short fiction (among other things) that I have really enjoyed. The first being Icarus Magazine, which devotes itself to gay speculative fiction. I'm sure that between these two magazines alone I could set myself up for short fiction (and reviews, poetry, art, etc) for most of my pleasure reading time (especially short-break times, like a dip in the tub or waiting rooms). I've encountered new authors in Icarus that I've since collected in book form - and though I do not believe that the only function of a short story is to tease you into buying the novels written by the same author, I do think that's an added bonus to enjoying the short fiction form.
When I was young, I had my various science fiction magazines, and occasionally some mystery ones, too. I like that now that I'm a grown - and gay - man, there are options that speak more to me. If you'd not heard of these two, I hope I've piqued your interest.