Ok,
1. Eraserhead isn't a short, but watch it anyway!!
2. I can recommend:
The Electric House (1922, Edward F. Cline & Buster Keaton)
A Story of Water (1961, Jean-Luc Godard & Franois Truffaut)
Audition (1963, Milos Forman)
Ich Nicht (1969, Jrg-Michael Baldenius & Wolfgang Petersen)
Dimensions of Dialogue (1982, Jan Svankmajer)
Tango (1981, Zbigniew Rybczynski)
Gagarin (1995, Alexij Kharitidi)
Cousin (1998, Adam Elliot)
Brother (1999, Adam Elliot)
Nicht auf den Mund (1999, Kathrin Feistl)
The Little Girl Who Sold the Sun (1999, Djibril Diop Mambty)
The Heart of the World (2000, Guy Maddin)
Soins et Beaut (2000, Alejandra Rojo)
Candidature (2001, Emmanuel Bourdieu)
Dog (2001, Andrea Arnold)
Eat (2001, Bill Plympton)
Freunde (2001, Jan Krger)
Tu Vois (2001, Franois Ruiz)
Maintenant (2002, Ins Rabadn)
Portrait (2002, Sergey Loznitsa)

But good luck finding them!!  

3. I don't find out about cool short films actually, since I don't know anyplace where I could get REALLY valuable info (I mean REALLY!! valuable). Most are just the newest pap.
I watch them on festivals, from old tapes taped from tv, and if some of my favorite directors have made shorts, i try to track them down (sometimes DVD). But there are more and more DVD compilations with good shorts coming onto the market.
Also look at your library or videostore for Films before 1914. Normally you will find lots of shorts there, many good ones!

Have fun with the films, I'd love to see capt. eo again (loved it as a kid), and the two Burton shorts are really great. Haven#t heard of Jo-Jo in the stars though.