I bet this doesn't happen as much any more. I haven't relied on Writer's Market in many a day. Partly because I haven't written short stories a great deal in many a day--though I'm starting to again a bit--but also because there are many other market listings with a thumb on the pulse of the fiction world.
Once upon a time, however, I'd pour over WM's listings searching out short story markets, and I know a few other people who did the same thing I did in the '80s.
It was well known in those days at least and probably still that many of the cool stories in Stephen King's Night Shift appeared first in men's magazines of the '70s, mostly in a title called Cavalier.
In the '80s when I was first cobbling together stories that at least seemed worthy of submitting, Writer's Market still listed Cavalier and other men's magazines as a market for horror fiction.
If you're a King reader you know his tales were all straightforward horror with occasional references to the Necronomicon, giant rats and man-eating laundry machines.
Eventually I finished a sorta kinda Lovecraftian piece that I thought wasn't too bad, and I typed up a cover letter and sent it off to Cavalier.
Before long I got a personal rejection note back from the fiction editor. "It's good, but I need strongly sex-oriented stories."
The world changed between the early '70s and the mid-'80s. One more nail went into the coffin of the short story market. (See Charles' excellent post which leads to his article on the topic.)
Sometime after "Sometimes They Come Back," men's magazines like Cavalier stopped publishing straightforward horror in favor of...well, ya' know.
I know many other writers with scary stories who did the same thing I did, though.
Eventually one buddy of mine modified a horror tale and placed it with one of those mags. He used to say: "You've heard of Playboy? Well it wasn't them."
The moral of the story, I suppose, is know the market before you submit to it even if you need a floppy hat, sunglasses and a raincoat to get a sample copy.
That reminds me of my adventures ordering books from Rhinoceros Books in preparation for writing a tale of erotic horror for one of their series, but that's another post.