I tend to think of short stories as “one-joke stories” (in which the joke isn’t necessarily a funny one): that is, a short story has the time and the room to do only one thing, and you have to be absolutely clear in your mind what that one thing is.
The conventional wisdom used to be that aspiring writers should start out writing short stories, and work their way up to novels. Of course, this was conventional wisdom that got its start back when short story markets were thick on the ground and markets for novel-length genre fiction were not. These days, a more appropriate piece of advice would be to start out in the form you find most congenial and then branch out into the ones that don’t come as easily. (A hint: if all of your short stories end up turning into 15,000-word monsters, you’re probably a novelist at heart and should work on expanding your story rather than cutting it. Either that, or your natural form is the novella, about which more at another time.)
The short story is a fiendishly difficult form. I’m not naturally a short-story writer, and ideas fitting that length don’t automatically come to me; I usually have to be asked “how about a story about X?” in order for something to generate. Novels are vastly easier, from a technical point of view—what’s tough about writing a novel is the sheer investment of time and effort the project requires, during which the writer has to live with the knowledge that if things don’t work out, he/she is out a year’s work and a lot of paper. But at least a novel gives you lots of room to screw up in—a novelist can make a surprising number of mistakes and exhibit an amazing number of flaws and still come out with a book that balances further over toward the Good end of the scale than the Bad.
(Exhibit A: Moby-Dick. Exhibit B: Huckleberry Finn. Point of view in Moby-Dick wanders all over the place, and the plot of Huckleberry Finn falls apart at the end, but the novels are enshrined in the American literary canon anyway.)
Short stories, on the other hand, are absolutely unforgiving. One slip, and you can lose the whole thing for good.