I've never seen people do short story book clubs, but I thought I would throw that idea out there. There's some old 1930's pulp fiction that is in public domain; so there you would have a cache of reading material that's short and free. If anything, since discussion here sounds inclusive of short novels and comic books, short stories could be thrown into the mix here and there.
Some authors include Dunsany (a very early author who I've seen debated as a founding father of sword and sorcery fiction), Robert E. Howard, Rudyard Kipling (I've seen a collection of Macabre short stories he's written), Fritz Leiber, H.P. Lovecraft (kind of dry, perhaps, but considered influential). Maybe Edgar Allan Poe (I haven't read a lot of his stuff, always meant to delve into it a bit). I don't know if Edgar Rice Burroughs wrote short fiction and if that's in public domain, but maybe it's worth a look; I know some of his writing is in public domain. We could round it all off with collections of Philip K.Dick's short fiction (not in public domain, but it might be fun to explore the stories that have inspired many film; Paycheck, Screamers, Total Recall, Next, Minority Report, ect).