For authors who've decided to take advantage of the e-revolution and go it alone, I'd like to share a few thoughts.
(1) Some people recommend opening a collection with your strongest story. This may seem like good advice, but I recommend against it. Think about it: do you want readers to buy your book on the strength of the sample and then feel let down by what comes afterward? Or would you rather risk losing a few purchases in exchange for customers who are satisfied with what they got and hungry for more?
My advice: select an opening story with a good hook, but save the best few stories for the end.
(2) Most authors name their collections after one of the stories it contains. So did I. Twice. And I will never, ever, ever do it again.
Naming a collection after a story is problematic on multiple levels. Firstly, it creates confusion as to whether a title on Amazon or Barnes & Noble refers to the short story or the collection. If you're considering releasing the stories as standalones in addition to the collection, this could cause serious problems with Amazon's price-matching algorithms. Let's say you have a collection priced at $6.97 on Amazon, and a short story by the same name on sale elsewhere for $0.99. If Amazon's algorithms mistake the short story for the collection, you might well wake up to find that Amazon has put your collection on sale for $0.99, too.
Secondly -- and in my opinion, more problematically -- a book's title and accompanying cover image are two of your best marketing tools. You want them to capture the feel of the collection as a whole; basing them on a specific story is only effective if that story embodies the spirit of the entire book.
Which brings us to my third point.
(3) In my experience, collections and anthologies tend to sell better if they have a sense of identity. By which I mean, the book should feel like it's about something rather than simply being a hodge-podge of stories by a given author. I learned this lesson too late to apply it to Dead Men Don't Cry and The Breath of Heaven, and am grateful that they sold decently despite this lack. It's not a mistake I intend to repeat.