If you are writing a short story for the Writer's of the Future contest then you might want to establish the genre in the first thirteen or shortly afterward. In other short stories it might be nice, but isn't essential.
Oh, and welcome to Hatrack. This would be a good post to put in the writing discussion section, but no worries.
[This message has been edited by satate (edited August 15, 2010).]
When you pick up a book, you approach the story with a little more patience becuase you are often expecting to spend a lot of time with it. Marathon versus a sprint. Also, if you are picking up a novel you often have a back cover or inside flap to give you a synopsis or teaser that will let you have insight into the genre. This is something you don't get for a short.
The story needs to come first.
WOTF is a totally different animal. As near as I can tell a lot of it is about jumping through the specific taste-hoops of a single person...this is true of all publications to an extent, but with WOTF its a lot like a theme anthology...you basically have to write a story specifically to fit it. This is one of the reasons I've never submitted to it, since the "themes" and whatall of WOTF don't seem to fit well with my writing.
If you're writing to a specific market or anthology you need to think more specifically, but when your writing purely from your own mind a story that's formed there, its usually best to go with it, rather than try to make it conform to the notions of someone other than you. Otherwise its like mixing too many colors of paint.
[This message has been edited by Merlion-Emrys (edited August 16, 2010).]
I know specifically how it works with spec fic readers, but I think the same general concept is true with romance and mystery and thriller.
Speculative fiction readers tend to take things LITERALLY. So if you open a story with "It was cloudy that day, with a chance of meatballs." Speculative fiction readers will not be surprised when the next thing that happens is the MC is knocked out by a particularly large swedish meatball. A reader of standard literary fiction might fall out of their chair (or throw the book aside in disgust, or be extremely confused, having expected the sentence to be a metaphor or something.)
Just bear in mind that a speculative fiction reader will expect different things. As others have pointed out, your cover, the placement on the shelf in a bookstore, and even your title will help tell the reader what kind of book this is, but if it's a work of speculative fiction and you want to open up with a lot of metaphorical speech, be careful.
Romance readers have expectations about the flow and structure of their stories. Mystery readers expect a dead body by the end of chapter 1 (and, unlike other genre readers, don't have an issue with the first chapter's POV being different than the other chapters, since usually the first chapter's MC gets killed by the end of that first chapter.)
So bear in mind the expectations of people who read in the genre you're writing, and try to understand that when structuring your opening.
I write YA sci-fi. While it'll be quite apparent from story titles and cover designs that my books are Kids In Space, I still find it important to make that clear quite early on, because the milieu of my stories is a big part of what I am writing. You may be more about the action, in which case get your book into the hands of a few people who read a lot in the genre you're writing and ask them if your opening makes sense/gets them hooked. Very often the hook is in the genre details (e.g., the dead body in a mystery, the romantic tension in a romance, etc.)
Good luck!
Anyway on to the real topic, just echoing what others have said. Yeah it's less of a big deal in books. And even in shorts your readers won't care as much, it should be packaged properly for them. It's the editors who really care. I have worked as an editor, and I have had the experience of going through a story thinking, "Okay, when are we going to get to the speculative element?" and way too often the answer was never.
But don't worry too much about it.
Oh and I totally agree with Merlion, do what is right for the story.