Cordwainer Fish
Imp. Int. Scout Svc. (Dishon. Ret.)
Stephenson's The Diamond Age is set in Da Future, but it has a very steampunky vibe.
Gunsmoke & Dragonfire is a good anthology of Weird West tales, but my first introduction to the genre was "Mister Hadj's Sunset Ride", by Saladin Ahmed.
Steampunk and Steampunk 2: Steampunk Reloaded anthologies edited by Jeff and Ann VanderMeer.
Dead Man's Hand: An Anthology of Weird West, Edited by John Joseph Adams
I've been on an Anthology kick lately, and so particularly appreciate these!