Marketing the Story
How about marketing the story, both pre-sale and post sale. What works best, and is it worth the effort?
First off, I recommend that everyone read Teresa Neilsen Hayden's article on bad cover letters. (I'm getting smarter. This link should spawn a new window, not take you out of my site.)
I can't speak with any authority about marketing novels. As for marketing short stories, well, the story's the thing, and all else is extraneous. Learn to prepare a presentable manuscript. Make sure you get the current editor's name right. (Nothing irks an editor faster than addressing your submission to a previous editor). Include an SASE, put it in mail with the correct amount of postage, and wait.
If you absolutely must include a cover letter -- why? What you want to do is get the editor to look at the first page of your story. All a cover letter does is delay that moment of truth. What else could you possibly say in a cover letter that would make the editor more likely to buy the story? "My old tennis buddy, Harlan Ellison, thought you'd like this one?" If the editor has prior experience with Mr. Ellison, that might actually be the kiss of death...