Not sure about MOST thought-provoking, but "The Bookmaking Habits of Select Species" and "State Change" (both by Ken Liu) are two good ones I read recently and think a lot about.
I recommend "The Merchant and the Alchemist's Gate" by Ted Chiang! An excellent sci-fi story set in the past that explores themes of guilt and repentance.
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[ 3.4 ms ] story [ 53.0 ms ] threadAttributed to Hemingway, but he may have cribbed the idea from others...
http://vigeland.caltech.edu/ist4/lectures/funes%20borges.pdf
* Hills like White Elephants by Hemingway * A Good Man is Hard to Find by Flannery O'Connor * Harrison Bergeron by Vonnegut * Most Dangerous Game