The Faery Reel: Tales from the Twilight Realm edited by Terri Windling and Ellen Datlow (Penguin - Viking) is just one of many anthologies edited by Terri Windling, Ellen Datlow, or both. A few years ago I realized I'd been reading their collections for ages, and you might find that you've being reading their collections without realizing it, too.
This collection of new faery tales is like having a selection from the various-colored fairy tale books from Andrew Lang--without the obnoxious and dated forewords. There are 500-odd pages of stories and poems. Some of the best stories, in my memory, are the ones by Katherine Vaz and Holly Black, as well as one that's all about Tinkerbell without any of the cutesiness of Disney. My very favorite, and in fact, one of my favorite short stories, hands down, is Kelly Link's "The Faery Handbag," about a handbag that's the portal to faery, which is bittersweet and sad without telling you if should really feel that way. There's also a source list at the end for stuff written in the last 25 years or so, which might make a good starting point for other people interested in exploring faery/fairy tales further.