I just want to point out that it doesn't have to be entirely one or the other when it comes to e-pubbing vs. traditional publishing when it comes to short fiction - or hell, long fiction for that matter.

Unless I'm writing for a specific themed antho or something like Writers of the Future (in which case I send a story there first), what I do is make a list of pro and semi pro markets, and start submitting down the list in order of payscale, until one either bites or I'm out of markets. At that point (and I haven't reached it yet, it'll take a year or two to reach the bottom of the list), I'll probably toss it up on Amazon.

Writers can also have your short story published by an e-zine and then once the exclusive rights wear off (usually in a year) try to resell it. And then when you can't sell it anymore, put it up on Amazon.

So there's a lot of ways you can go, including mixing and matching. Also, it seems to me that the most successful people who e-pub stuff have a hell of a lot of stories that they can post. If you're just dealing with one short story, it might make sense to shop it around awhile while you write more and build up a backlist before publishing on Amazon.