I am particularly fond of short stories, but (with the exception of gaming fiction), this is not often something you see in fantasy.

Am I wrong?  Can anyone recommend a good set of short stories by fantasy authors?

During the pulp era, short stories were the norm.  Robert Howard, Clark Ashton Smith, and the like have most of their works as short stories.
 
Now days, not so much.  Compared to 70 years ago, there is a much bigger paperback market and a much diminished magazine market.

Gene Wolfe writes a lot of good short fiction. Some of it is more SF, some more fantasy.

Also there's a yearly "Year's Best Fantasy and Horror" which doesn't help you if you don't like horror.

Harlan Ellison writes a lot of good short fiction, too, but it tends more towards the SF/speculative side, although some of it is really fantasy.

There is (or used to be) a yearly collection of short stories called "Sword and Sorceress" that was edited by Marion Zimmer Bradley until her death. All of the protagonists were women, and the quality of the stories varied enormously but I remember some gems in there.

Hm, I gave an anthology of short stories to Mad Hatter when I moved back to Sweden, but I can't remember what it was called... It had a pretty good short story by George Martin called The Hedge Knight, among others.

*googling*

It might have been from a series of books called "Legends", with short stories by authors like Terry Pratchett; Tad Williams; Ursula K. Le Guin; Robert Jordan; Stephen King; Orson Scott Card; Raymond E. Feist; Terry Goodkind; George R. R. Martin and Anne McCaffrey. Yes, I copied and pasted the names, from here.

Thanks for all the suggestions folks.  Please keep them coming!

You looking for shorts from big-name authors? Or just fantasy short stories? There are many good free e-zines out there, but it's not top quality stuff. Still plenty of good stories out there, though.

the Hedge Knight by George R. R. Martin is pretty grand:)

R. A Salvatore has a few short storied and those are pretty good and definitely worth checking out.

There are some recent collections I liked.  Roger Zelazny's complete works (aside from the novels) were published as a multivolume set, including some Amber stories I hadn't read.  I also liked "Heroic Hearts" edited by Jim Butcher.

These collections can be important for new authors.  I recently met a woman who got a major multibook contract with Tor after her short story was featured in such a collection.  (After struggling for 17+ years with limited success)

There's an old book edited by Isaac Asimov and others titled "100 Great Fantasy Short Short Stories" which is excellent.  it's out of print, but a used paperback will run you $5-$10 U.S. and a hardback about $20.  They aren't D&D style or sword and sorcery, though, more like "Twilight Zone"-type fantasy.  I liked it a lot.

As others have suggested, try Robert E. Howard and Clark Ashton Smith.  Lovecraft didn't write only horror, either; his Dreamlands stuff is mostly short stories and you might like that.  The stories of Lord Dunsany were the inspiration for those, and if you like the Dreamlands stuff you might also like Gary Myers' collection of short stories "The House of the Worm."  Also look for collections of stories from the old pulps like Weird tales or Strange Stories; they published lots of fantasy as well as horror.  Fritz Leiber's stories about Fafhrd and the Gray Mouser are mostly of the short variety.  Also check out Jack Finney and Richard Matheson - again, not S&S but more Twilight Zoney kind of fantasy.  Theodore Sturgeon and Charles Beaumont wrote fantasy as well as horror, and they have collections of short stories.

The Magazine of Fantasy & Science Fiction has usually 4 Fantasy stories.  In the 90s, urban fantasy was big.  I hear today it's very low quality, but back issues dating back over half a century are at archive.org

Some (digital only?) magazines I read regularly are cover to cover fantasy and S&S short stories. This is the new pulp!

Savage Realms is the title I've enjoyed the most. It's been going for about 3 or 4 years now. And if you find that one, you should see a dozen others of similar vein.

Classic fantasy short story collections I'd recommend include Conan by Robert E Howard and Fafhrd and Gray Mouser by Fritz Leiber.

I can recommend a collection of 21 stories "Rogues" of many authors (George R.R. Martin, Joe Abercrombie, Neil Gaiman, etc.)

Short stories are absolutely ubiquitous in fantasy, with pretty much every major author having written them at some point. There's a series called "The Year's Best Fantasy and Horror" which has been publishing annual short story collections since at least the 80s. I don't know where you live, but if you're in America, you can usually walk into any used book store and find several collections in the fantasy section (usually on the top shelf or with the hardbacks).

I generally buy collections by author, rather than the mixed-author ones, but here are some things you could check out:
Clark Ashton Smith: Collected Fantasies (In 5 volumes)
Ballantine Books' Robert E. Howard Collections (There are like 10 or 12 volumes compiling his different characters and genres)
Fritz Leiber's "Swords" series (8 Volumes, all but one of which are short story compilations)
Michael Moorcock's Elric Series (Like the "Swords series, these were stories originally published in short form that were later sequenced together to make into novels)
Terry Pratchett - A Blink of the Screen
After the King: Stories in Honor of J.R.R. Tolkien
A Quest Lover's Treasury of the Fantastic
Brian McNaughten - The Throne of Bones
Ray Bradbury - The October Country

If for some reason you want to read feminist fantasy, there's a two volume series called "Chicks in Chainmail". Can't say I recommend it, though.