The Wiki article on him notes that “Waldrop’s work is frequently out of print and sometimes hard to find.” Yes, IME. Most of his books that I’ve got, I had to run down in used-book stores.
And sometimes he just makes it worse on purpose. I’d luuurrrv to read me this ghost story set in a Europe that went Communist in the mid-19th-Century, but it was published in a chapbook edition of 500 signed & numbered copies! One cannot even think of trying to get it by interlibrary loan. 
What gives?
Most of his output is available on Amazon, so he’s probably easier to find now than at any time in his career.
He’s a cult writer, but there’s more to it than that. He’s only written a novel or two. Publishers have no interest in genre short story collections. They used to put them out as a favor to their authors in between novels, but if there are no novels in the first place… Most major sf publishers today will not touch a short story collection. Many fine small presses publish them in lieu of the big names, but they are always going to have distribution issues.
Waldrop also lives a deliberately non-technological life. No computer. Heck, no telephone. He doesn’t appear much outside of Texas and so hasn’t built up a fan base through the convention route. He doesn’t run his own website, which hasn’t been updated since 2003 anyway.
If you set out to be below-the-radar in publishing, it’s fantastically easy to succeed.
There are also a few people like that in any field, even in sf. (They congregate in the southwest, it seems.) When you talk about people who have to go to the general store to pick up their mail, being off the grid takes on new meaning. Waldrop apparently wants it that way. He’ll never be popular except among a select few. If you want his work, you have to search it out.
Yet if you check the SF section of any bookstore, you’ll find a profusion of genre short story anthologies (the difference being the stories are by several different authors, usually collected around a theme, like “Wizards” or “Supermen” or “The Last Man on Earth”).
I wonder why they consider those more marketable than single-author collections?
Tell me about it. I spent years looking for a used copy of Howard Who? before it finally got reprinted.
And I think the book’s title explains it. As Exapno wrote, Waldrop is a cult author. There is a small base of people who really like his work but he’s not that well-known to the general SF audience.
Many of these are used as loss leaders to introduce authors to readers. They are primarily (if not exclusively) made up of stories by other authors who have books with the publisher who puts out the anthology (Baen Books uses this sort of thing a lot). The books don’t have to make a big profit, but if people read a particular author and seek out his other books, then it’s good for the publisher.
Also, books from multiple authors have more appeal. If you like a particular author, you may buy an anthology with one of her works (and discover other authors). If three of your favorite authors are in it, you’re even more likely to buy. But if you don’t like Howard Waldrop (or don’t know who he is), then you’re not likely to pick up a short story collection by him.
It’s the same with theme anthologies: if you like vampire stories, then you’re likely to pick up an anthology of them. But a single author collection won’t usually have all stories on the same subject, so you pass.
So, what is it that you like about Howard Waldrop’s fiction? Would you recommend him to most SF fans?
Waldrop’s extremely idiosyncratic. You’ll either like him or you won’t. Obviously most sf readers don’t or he wouldn’t be a cult unknown.
Chuck is right about anthologies. They don’t sell as well as novels, but there are usually, well, almost always and deliberately, sufficient recognizable popular names to draw in readers.
Single author collections don’t have even that draw, and so they sell much worse than either.
Probably the only thing that can possibly sell worse than a single author collection is an academic book on the themes of science fiction.