A conversation with a certain neopro author (hope you don't mind that characterization) at WisCon made me think there ought to be more public discussion of good strategies to follow in deciding where to submit a given story. I figure a lot of you already know this or don't care (in which case either chime in with more helpful suggestions or just skip this entry), but I also figure it can't hurt to toss this out there in case there are other authors who haven't thought of things in this way. Also, I am procrastinating on all the important magazine stuff I really ought to be doing.
(This kind of thing gets discussed a lot on the Rumor Mill, but I know not everyone reads that.)
The main guiding principle that I would recommend is to send each story first to the market that has the best mix (for you personally) of factors such as pay rate, prestige, response time, "professional" credentials, fit for the story, convenience factors (like whether it takes e-subs and whether it's in the same country you are), and your personal liking of it.
Different people thus may have very different lists of places to submit. Pay rate may be the most important thing for you; if so, then you might want to try the New Yorker first—or if you want to stick with genre magazines, Sci Fiction. (Anthologies may also sometimes have better pay rates than magazines, but that varies a lot.) If response time is far more important to you than other factors, you might want to try some of the online semiprozines that sometimes respond in a day or two, or you might start with F&SF, which often responds in a week or two. Note, btw, that response times for Asimov's have gotten much shorter in the past few months than they used to be. See Submitting to the Black Hole for information on response times.
But I would recommend that you strongly consider putting a lot of weight on prestige and pay rate. If you have a fantasy story, probably the first three places you should send it (in some order) are Sci Fiction, F&SF, and Asimov's, at least if you live in the US. Those three markets are among the five highest-profile in the field; they're all among the five or six best-paying markets in the field; they all have good response times; they're all prozines by SFWA standards and Campbell standards (and two of them are prozines by Hugo standards, but that shouldn't really matter to the author so much); they all publish fantasy. (The other two highest-profile magazines, of course, are Realms of Fantasy, which tends toward long response times but is still high on many writers' lists and publishes a lot of great stuff, and Analog, which doesn't publish fantasy. If your story is hard science fiction, of course, Analog should probably be near the top of the list.)
If you're utterly devoted to one of the lower-profile publications (Lady Churchill's, for example, or Polyphony, or The Third Alternative, or Say..., or Flytrap, or Strange Horizons for that matter) (and I apologize to all of you other editors I'm leaving off here; these are just examples, there are plenty of other good and worthwhile small-press markets, in print and online), then sure, you can send your work there first. But even though you may get a warm glow from a sale to those places, you'll get less attention (from readers and reviewers and awards) and less money than if you sold to one of the Big Five. If you're just starting out and you want to become known, you're probably better off submitting to the big magazines first rather than the small ones.
I have a hard time objecting when an author sends a great story to us first and we get to publish it without Sheila or Gordon or Ellen or Shawna getting to see it first. But I'd be hesitant to actually recommend that authors do that; the simple fact is that having a story in Asimov's (for example) is better for your career and for your bank account than having a story in SH. So far, anyway.
As for variety: the author I was talking with felt that it was good for one's career to have stories appear in multiple venues. That's true as far as it goes, but if you have a choice between (say) five stories in Asimov's and one each in Asimov's and four semiprozines that pay half a cent a word and have a circulation of 500 readers, you're way better off with the former than with the latter. Some authors appear pretty much exclusively in Asimov's; that lack of variety of venue doesn't keep them from appearing regularly on award ballots.
I don't mean to say that factors such as liking the editor(s) and liking the magazine shouldn't factor heavily into your decision; for some authors, those really are the most important factors. But if you're trying to establish a career, it might be best to make a name for yourself in the high-profile venues first (and get your SFWA membership if you want it), then come back to the lower-profile ones later. (Which may help the lower-profile places in the long run; they don't often get a chance to publish big-name authors.)
No discussion of where to publish would be complete, of course, without a pointer to some market lists. My favorites are Ralan's Webstravaganza (which as far as I can tell is the most complete and up-to-date sf market list anywhere), Bluejack's Quintamid Market Database, and Michael Engen's StoryPilot's Science Fiction and Fantasy Market Engine. The Quintamid and StoryPilot listings are more database-like, making them useful for looking up a good market for a particular story.