Firstly, I’m really hoping that I’m posting this in the right forum. If not, my apologies!
Does anyone here support or have any small press works or zines that they might recommend? I already have a subscription to Apex Science Fiction and Horror Digest and Shimmer. I signed up for the trial subscription at One Story but have been horribly disappointed with their service. I am particularly interested in small zines that publish good quality short stories, usually either horror, science fiction, or fantasy. Though Steampunk Magazine is pretty cool, too.
I used to write really long winded argumentitive letters to Maximum Rock and Roll. Does that count?
Heh. As someone who has been helping with a tiny little zine for almost a year with next to no reader feedback at all (but we are getting consistent downloads, so we persevere), I’d consider long-winded argumentative letters as support. 
I am a big fan of and subscriber to The Nose Knows, a weekly handwritten one-pager based out of New Orleans. They have no online presence that I know of except for their paypal account - it’s one of yer old-skool xerox jobs.
Of course, it has nothing whatsoever to do with the interests stated in the OP. Each week brings 3 or 4 extremely brief but charming articles by a group of punk rock gals revolving around whatever is either going on on their lives or what interests them at any given time. It’s so short I can sometimes read the whole thing on the way up to my apartment from the mailbox.
Still, it’s worth every penny. Highly recommended! 4 stars.
Well, you’ve already listed my only contribution, Steampunk.
How about something like Black Satellite or Lady Churchill’s Rosedbud Wristlet? Both mainly horror plus assorted weirdness.
Rachel Rage, actually, that sounds awesome. How do I contact them to check out one of the issues?
Tapioca Dextrin - The Black Satellite site is showing the latest issues as being from 2006. Do you know if they’re still active or not?