If you like military SF, try Jerry Pournelle’s There Will Be War series – eight anthologies.
Too many of these are collections by one author. I was under the impression that the OP was asking about multi-author anthologies.
Considered as a group, I’d recommend the Man-Kzin War series, based on Larry Niven’s stories about the Kzin, but now expanded to allow other authors to fill in the gaps. The series has been going for about 15 hyears now, and is up to its eleventh volume.
Mik Resnick has edited several “theme” anthologies, such as Alternate Presidents (which has one of my favorite covers – it shows a triumphant Thomas E. Dewey holding up a newspaper with the headline Truman Defeats Dewey) and the like.
Harlan Ellison’s Medea: Harlan’s World is a shared-world anthology in wehich all the authors wrote stories about the same planet. It’s got stuff by Ellison, Hal Clement, Larry Niven, and other big names. It’s not entirely successful, but some of the stories are very good.
Also Alternate Warriors – the cover shows a snarling Gandhi packing heat like Rambo! 
Now that’s interesting! I’m currently reading Altered Carbon, by Richard K. Morgan (a novel), and the main character comes from Harlan’s World. I had assumed it was a nod to Harlan Ellison, but I didn’t realize that it was an actual shared-world. I may have to look for it.
Kate Wilhelm has put out some great collections, both as editor (Clarion SF, Nebula Award Series 9) and her own work (The Infinity Box, The Mile-Long Spaceship). I particularly remember being impressed with The Infinity Box.
The last sci-fi short story collection I bought was Far Horizons. It contains stories from some of my favorite sci-fi universes:
An Ender story from Orson Scott Card;
A Hyperion story from Dan Simmons;
An Uplift story from David Brin;
A Forever War story from Joe Haldeman;
A Sleepless story from Nancy Kress;
A Ship Who Sang story from Anne McCaffrey;
A Heechee story from Frederik Pohl
Not all the stories are great, but I thought it was a neat collection.
Another recommendation for San Diego Lightfoot Sue, one of my favorites. If you can find it try Blind Voices, which was his first and only novel.
**The Collected Stories of Arthur C. Clarke ** contains almost every short story Clarke wrote, and almost all of them are high quality reads.