I want to write short stories that connect in a subtle way. Are there any collections of works that do this. I can only think of H.P lovecraft and friends. King does that with his work but thats on a grander scale.
William Gibson did this with his short stories and the Sprawl trilogy.
You will probably find a lot of examples of what you're looking for in pulp fiction - authors like Robert E. Howard and Lovecraft. Not only in fantasy/sci-fi, but in the thriller/noir genre too.