When Nick Mamatas announced on his LJ that he was working on a David Foster Wallace/Lovecraft mash-up, I knew immediately that it would be my kind of story. So I'm not surprised that Hideous Interview with Brief Man (published in Fiddleblack) was the best short story I read last month (or in February, whatever). It's obviously more relevant to your interests if you're a fan of DFW and/or Lovecraft, but for people who enjoy the former's work, the care taken to replicate his style is well appreciated. The format is of course familiar, and takes the conceit of an interview between the abyss and "an ugly half-orc who sweats excessively and whom nobody could ever ever love." This is supposedly the last SF story that Mamatas plans to write, which bums me out, though I look forward to reading his foray into crime fiction.
Liz Argall's Shadow Play (published in Daily Science Fiction) uses beautiful language to tell the story of a past-their-prime shapeshifter who haunts a low-rent puppet house on the bad side of town. The shifter may no longer have a story of their own, but they can still tell stories, for the cost of a token. This flash piece paints a vivid picture of people and memories that are almost all used up. I look forward to reading a lot more of Argall's work.
The first thing you'll notice about Biographical Fragments of the Life of Julian Prince by Jake Kerr (Lightspeed) is its structure, but it is far from a gimmick story. Through false Wikipedia entries mixed with secondary source materials, Kerr builds an entire near-future world, one devastated by an asteroid impact. This structure tells a story in a way straight narrative never could, and focuses more on the titular author's reactions to the Meyer Impact, and how his philosophy and work was shaped by the event and how it goes on to influence the world. The false interviews, novel excerpts, and speeches play off the Wikipedia entries very nicely, each informing and supporting the other. My only real complaint about this story is that I couldn't click on the hyperlinks.