The man's a fucking genius. In the last week I've read about a man searching for the last dodos; Elvis wishing he could play the clarinet like Eisenhower instead of being a Senator; fishing for Leviathan after the Great Fire of London; zen sumos throwing their opponents with the power of their minds; and what happened to Mickey, Donald, and Goofy at the end of the world. All meticulously researched, and completely believable.
Every single story is great. They're all examples of a writer getting an idea and running with it, elbowing aside worries about whether the story will find a market or any of the other crap that gets in the way. "Horror, We Got" is the perfect example. In it Israel builds a time machine, and the Jews take over the world just to spite the paranoid anti-semites. In the notes at the end of the book Waldrop recounts the first time it was read aloud at a convention:
Ed Bryant was watching. He said for the first ten minutes it was like watching the audience in Mel Brooks' The Producers watching Springtime For Hitler... Then people slowly caught on, and they ended up applauding.
Above all, they're examples of a writer having fun and enjoying what he's doing.