I feel I've done my due diligence by the Retro Hugos for 1941 as never before. I read the Asimov/Greenberg edited collection of 1940 stories, and the relevant stories from Heinlein's The Past Through Tomorrow and Sturgeon's The Ultimate EgoistThe Clock Strikes Twelve, a collection of spooky stories by H. Russell Wakefield, and Kai Lung Beneath the Mulberry Tree, a collection of stories in an imagined and rather Orientalist China by Ernest Bramah, which actually had very little sfnal content (there's a magician in one story and a prophetic dream in another). I've also read the five collections of stories compiled by the diligent von Dimpelheimer, to whom much credit is due for rescuing and propagating many gems. (See his collections here, here, here, here and here.) And I found some more available for free online.

Before I get into the specifics, one point that struck me: a lot of the stories of 1940 are set either in New York or on Mars. It shows the power of attraction of the lead city for American culture, and the superior imaginative grip of (imaginary) canals rather than clouds. It may also show the impact of Orson Welles' War of the Worlds broadcast from two years earlier, though my memory of the 1939 Retro Hugos, most of which would have been written before the Halloween broadcast, is that New York and Mars were similarly prominent.

Anyway, parking that thought, I am minded to nominate the following:

Short Stories

• "Tlön, Uqbar, Orbis Tertius", by Jorge Luís Borges – parallel reality revealed through encyclopedia. (NB that this text is the 1947 revision; it is implied that the 1940 original finished a few paragraphs earlier.) Probably getting my vote if it is a finalist.
• "The Piper" by Ray Bradbury (as Ron Reynolds) – a von Dimpelheimer find, which seemed to me to herald the promise of the Martian Chronicles.
• "The Stellar Legion" by Leigh Brackett – a glorious two-fisted tale, the first of her Venus series
• "John Duffy's Brother", by Flann O'Brien – great little Dublin story of altered mental states
• "Quietus", by Ross Rocklynne – the grim fate of the last humans when post-Apocalypse earth visted by aliens.

Novelettes

• "Farewell to the Master", by Harry Bates – classic story of alien contact with Earth gone tragically wrong, basis of famous film, probably getting my vote if it is a finalist.
• "Into the Darkness", by Ross Rocklynne – a rather spectacular Stapledonian story of vast discorporeal intelligences, in the Asimov/Greenberg anthology.
• "New York Fights the Termanites" by Bertrand L. Shurtleff – glorious: they are half human, half termite, and are trying to Conquer! The! City! Another von Dimpelheimer find.
• "It", by Theodore Sturgeon – great story of undead monster in small town America, in the Asimov/Greenberg anthology and the Sturgeon collection.
• "The Sea Thing", by A.E. van Vogt – shark god v humans on a Pacific island.

Novellas

• The Invention of Morel, by Adolfo Bioy Casares – surrealism meets magical realism.
• Fattypuffs and Thinifers, by Andre Maurois – the title is rather awful, but the point of the book is actually a parable about tolerance of difference, obviously from the context relating to France and Germany.
• If This Goes On, by Robert A. Heinlein – nominating this having reread the 1953 expansion and a note on how it differs from the 1940 original, probably getting my vote if it is a finalist.
• "The Mound", by H.P. Lovecraft and Zealia Bishop – OK, so there's magical Indians, but there's also time travel and Elder Gods. Written many years earlier, but published only in 1940.
• "But Without Horns", by Norvell Page – very nicely done story about a superman who never actually appears.

Novels

I'm sure that Slan and Gray Lensman will be on the list anyway without my support, but in hope of diversifying I'm nominating five others from the long list I compiled. They are:

• Kallocain, by Karin Boye – a forgotten dystopia that merits reviving.
• Captain Future and the Space Emperor, by Edmond Hamilton – pulpy but memorable start of a long series
• Edited to add: I’m changing my original preferences and dropping Jack Williamson for The Last Man, aka No Other Man, by Alfred Noyes – a Doomsday Weapon post-apocalypse tale of love and religion.
• Twice in Time, by Manly Wade Wellman – not sure if the Baen e-version is the 1940 original, the 1957 shorter version, or the 1988 expansion, but in any case it's a rollicking good story of time travel and becoming part of history.
• The Ill-Made Knight, by T.H. White – third of the four parts of The Once and Future King, the story of Lancelot; will probably get my vote if it is a finalist
• The Reign of Wizardry, by Jack Williamson – decent retelling of Theseus legend, with much else thrown in.

There's a lot of good stuff out there. I recommend that the curious try the five von Dimpleheimer collections, and also get hold of the Asimov/Greenberg collection for the short stories; your mileage will certainly vary from mine. (Some other anthologies and collections containing 1940 stories are listed here.) The novels, and several of the novellas, are all available by the usual means (The Ill-Made Knight as part of The Once and Future King, If This Goes On in The Past Through Tomorrow).

This project has deflected me from my ambition of reading widely in the short fiction of 2015. Fortunately, lots of other people have been doing so. But more on that another time.