I'll add some recommendations to the author's list, as I have found that reading difficult literature (both fiction and non-fiction) has been like exercising a muscle for me. For example, I read Blood Meridian before doing this and then again after doing it for a few years, right after McCarthy passed away, and it was a night and day difference in how "difficult" the prose was.
A few things I think fit into the "short little difficult books":
Borges is not someone I consider too difficult, but many do for the same reason the author mentioned people finding Calvino to be difficult. His works require that you invest some curiosity into thinking about the scenarios in his fiction. He also plays with the nature of the narrative of the story in a sometimes postmodern way that is still accessible. None of his works are longer than 20 pages or so, so not a huge time investment. I would recommend buying the Penguin "Collected Fictions" edition. It contains a collection of books of stories, and I would recommend prioritizing reading the Fictions and The Aleph collections first. Some of his popular stories to start with would be "Tlön, Uqbar, Orbis Tertius", "The Lottery in Babylon", "The Library of Babel", and "The Immortal". If you want slightly more sentimental, "The Circular Ruins" is wonderful. If you want dryer, more satirical and postmodern, "Pierre Menard, Author of the Quixote" is hilarious.
If you want a book that plays with the basic structure of a "novel", Nabokov's Pale Fire is a great read and a good introduction into what the technique of an unreliable narrator can truly achieve. No matter how out-there you think your interpretation of it is, if you look into published literary analysis of it, the rabbit hole goes so much deeper than you might think.
Gene Wolfe is highly regarded among science fiction fans, and for good reason. While he's best known for his Solar Cycle, a set of a dozen novels, I think that the best introduction to him can be found in his short stories. They might not seem difficult at first, but some of them, especially Seven American Nights, Forlesen, and the trio of stories in The Fifth Head of Cerberus, are similar to Pale Fire insofar as they are far more than they seem on the surface. They require some degree of scrutiny and interpretation from the reader. I wish I had read them before his bigger novels, as I found reading those novels was so much more rewarding after learning how to read Wolfe from his short stories. If you want to buy a few short story collections, there's going to be some unavoidable overlap, but I would recommend "The Best of Gene Wolfe" (for The Island of Doctor Death and Other Stories, The Death of Dr. Island, Forlesen, Seven American Nights, Death of the Island Doctor), "The Island of Doctor Death and Other Stories and Other Stories" (Tracking Song, The Doctor of Death Island), and "The Fifth Head of Cerberus" for its three novellas.
If you want something much more difficult, try J.G. Ballard's The Atrocity Exhibition. He was influenced by Burroughs (Naked Lunch would be another recommendation here if you can stomach the Beatnik depravity within) and wrote a novel that will challenge its reader in many ways. It's very interesting to go straight from this into Crash, which covers a lot of the same material in a less difficult structure. Baudrillard praised Crash with "After Borges, but in another register, Crash is the first great novel of the universe of simulation", but I would say The Atrocity Exhibition deserves this praise(?) just as much, even if it's much rougher around the edges. Certainly, the political stunt pulled using one of its sections (called Why I Want to Fuck Ronald Reagan) belong more to the Situationists' games than Baudrillard's universe of simulation, but the stunt relies just as much on the hyperreal breakdown of signifiers as anything Baudrillard even pointed to.