One characteristic is their ability to convey a powerful message in a short space. For example, in 'The Lottery', Shirley Jackson packs a punch about the dangers of tradition in just a few pages. Another is the creation of memorable characters. In 'A Good Man Is Hard to Find', Flannery O'Connor gives us complex and interesting characters that stay with us. Also, they often have an unexpected twist. Like in 'The Gift of the Magi' by O. Henry, the ending is both sweet and surprising.
The best short fiction books usually have a strong sense of atmosphere. In 'The Yellow Wallpaper', Charlotte Perkins Gilman creates a really oppressive and eerie atmosphere that adds to the overall impact. They also tend to explore deep themes in a concise way. 'The Metamorphosis' by Franz Kafka delves into alienation and identity in a relatively short story. And they can have unique narrative voices, such as the first - person, slightly mad voice in 'The Tell - Tale Heart' by Edgar Allan Poe.