Like so many writers, the ultimate dream I'm chasing revolves around the novel. The agent, the book deal, a long-running multi-book career. But I also love short story writing, for two reasons:
1. It's a great way to try out a technique without committing to a book's worth of that technique. I've re-written novels to change POV and tense, because if it has to be done, it has to be done, but I'd rather do my experimentation on something under 5000 words, please.
2. It's a great way to try out submission and rejection. I don't say this to sound pessimistic, but the short story markets are very, very crowded, especially in the professional and semi-pro pay scales. I've had some poems and short stories published in pro-paying markets I'm very proud of, but I've also received my fair share of rejections*. It's all served a purpose in thickening my skin, though, in my opinion.
I know there are those rare writers who receive offers of representation from their first set of carefully-targeted queries, and whose agents then sell their book their first week. That's not me. I've collected some rejections on my first novel and, as I'm preparing to query my second, I'm grateful I've learned not to take rejection personally. I want the agent I eventually sign with to love my work, and I'm okay with all the rejections along the way from agents who aren't going to love it (as long as I can be proud of my product and secure that I've done my homework before querying, of course!).
Of course, there's a third reason I write short stories, which has nothing to do with the practical, which disregards the thin markets and the probabilities, and whatever career benefits short stories may carry, and even the bittersweet feelings of a "close, but not quite" rejection, and the joys of an acceptance.
They make me happy.
Sometimes, it's nice to just go back to that.