http://fiction.eserver.org/short/occurrence_at_owl_creek.html
occurence at owl creek bridge...civil war. i think it was made into a twilight zone episode.
the wall by sartre
http://chabrieres.pagesperso-orange.fr/texts/sartre_thewall.html
plato's allegory of the cave. not really a short story but still short and profound.
http://webspace.ship.edu/cgboer/platoscave.html