“Tall Tales from the Mekong Delta” by Kate Braverman is one of those stories where you think you know what’s going on and then WHOA something totally different is going on. It’s gives you that roundhouse kick to the guy that only a short story can give you in such a satisfying way.
“Orientation” by Daniel Orozco. I recently read this story for the first time and it’s just as effective in print as it on the episode of “This American Life” that I’ve linked to. With this story, Orozco has crafted a tale of cube-life that is both haunting and hilarious.