I've read a pretty large amount of one-shot mangas (more than actual series, for that matter). Admittedly a whole bunch of them were releases by one certain Shintaro Kago, which... well, it's not something everyone can enjoy. I'd definately recommend reading Genesis and Abstraction by him though, both of them are relatively tame in regards to messy stuff and are of higher quality than most of his works.
Genesis - Pretty much what it says in the title. It's about the creation of the world, but different.
Genres: Comedy, Dementia
Abstraction - Pretty much just exists to break the habitual nature of comics and be different. Ignore the story, read it for the style and presentation.
Genres: Dementia, Horror
Whilst anyone who's been to manga on Tuesdays will have probably read Hotel, Personant and Island, all three are interesting and definitely worth a read.
Hotel - A computer exists far beyond the extinction of all life and recounts it's journey from creation to current times.
Genres: Drama, Sci-fi
Personant - A system has been introduced where everyone wears special masks, nullifying discrimination. However, someone refuses to use the system and attempts to take down the system.
Genres: Action, Adventure, Comedy, Shounen
Island - Focusses around a couple of young people living within a city surrounded by walls, beyond which there is apparently nothing. However, as one of the characters turns 14, she will find out the truth.
Genres: Adventure, Mystery
I'd also recommend checking out the following single-chapter shorts:
White Rain - A psychological manga written by Yoshitoshi Abe (one of my favourite mangakas) and features a pair of twins who wake up with no knowledge of who they are who wake up in an unknown place. Upon looking around, they find the only way to get food is to take a raft which only one of them can board.
Genres: Dementia, Mystery, Drama, Fantasy, Horror, Psychological
Look Me in the Eyes When You Talk - A short horror written by the guy behind Parasyte and features a guy who, after being hospitalised, sees everyone around him without their eyes.
Genres: Dementia, Horror, Psychological, Seinen
Loop - A story about a murder occurring in a mansion stuck on an infinite loop of repetition and what happens when one of the people tries to break the chain.
Genres: Action, Horror, Shounen, Supernatural
Fuyu no Hana - About a boy who, as part of his family hereditary, has an unknown flower within his body which, upon blooming, will cause his death but allow the prolonging of another's life.
Genres: Drama, Romance, Shoujo
Emerald - A classic Old Western style manga written and drawn by the guy who made Blade of the Immortal. Considering the wild west is rarely touched upon in anime and manga, this is a great example of how the setting can work well.
Genres: Action, Drama, Romance
Semi-Eternal Happy End - A manga about a young girl who isn't having a particularly enjoyable life but gets confronted by a mystical source via a teddy bear, offering her three 'wishes' each of which there are two options to choose from. Both will grant her something at the loss of another thing. Kinda Faust-y if you ask me, but pretty decent.
Genres: Drama, Fantasy, Seinen
Fetish - A collection of short stories involving various themes. Actually doesn't have all that much to do with fetishes.
Genres: Drama, Horror, Psychological, Josei
Digimortal - A one-shot by Tsutumo Nihei, another of my favourite mangakas. Pretty much just about a mercenary sent on a job to kill someone, but the artwork is what it's really worth reading for.
Genres: Action, Drama, Sci-fi, Seinen
And a few multi-chapter but single volume manga:
NOiSE - An 8-chapter story by Tsutumo Nihei, designed as a precursor to his first long running series BLAME!. Shows what the world was like before the events of BLAME! and the events leading up to the series. Entirely readable by itself though, plus once again the artwork is delicious.
Genres: Action, Sci-fi
Goth - Focusses around a couple of characters who have a strange fascination with death and murder and can often solve puzzles which the police cannot. It's really rather dark but a great story.
Genres: Mystery, Horror, Psychological
And for those who just want to read something which has become pretty much infamous:
Mai-Chan's Daily Life - It's massively fucked up and many people seem to think it's the sickest thing ever created, but really it's designed as an extremely dark comedy. It'll get messy and I'd warn against reading it unless you're sure you can handle it, because it crosses the borders a couple of times.
Genres: Hentai, Horror