My understanding is that it sort of goes like this:
High/epic Fantasy: Tolkein, Jordan, and that ilk. Immortal elves, bold heroes, brave warriors, dark tyrants, epic quests, a certain flowing language and a deeply magical, beautiful, grand scheme to things. The shiny is shinier, the pretty prettier, the magic magicaler, the evil eviller... High fantasy is a world unto itself, where nothing is small. Except the hobbits.
Sword & Sorcery/Low fantasy: Fritz Leiber, Robert E. Howard. More down to earth. Grim and gritty. Flawed heroes and anti-heroes. Mighty-thewed barbarians stalking the land in search of adventure, ale, and whores. Good versus evil on a smaller, more visceral scale. Chain mail bikinis, tentacled horrors, maidens in need of rescuing.
Urban Fantasy: Things of magic set in a familiar setting, i.e. the here and now (for the most part.) Science meets superstition, technology meets magic. Wizards, witches, elves, vampires and werewolves dwell among an often-unknowing humanity. Emma Bull, Charles de Lint, Jim Butcher, Laurell K. Hamilton, and Holly Black are all fine examples of this rapidly growing sub-genre.
Paranormal Romance: See urban fantasy, but add in a strong emphasis on the romantic relationships and matters of the heart - and sometimes sex - between the main characters. There's a broad overlap between the two, but no one's find the exact line of divide. Paranormal romance bleeds into romantic fantasy.
Science Fantasy: If I ever figure that one out, I'll let you know. I suppose that dwells out in the realm of "any technology sufficiently advanced is indistinguishable from magic" and vice-versa.
The great thing about all of these genres is that they overlap, and there's a space in the middle where they can all meet.
Sadly, for all that, I can't think of any high fantasy short fiction offhand that really calls to me at the moment.
It was well-recieved over there. Any thoughts?