To my knowledge there has never been a "Scotland's favourite short story", but if there was, the first story Alasdair Gray ever wrote, The Star, would surely be a contender.

Together with its beautiful illustrations, it takes up a mere four pages. At first glance it is a children's story: fantastical, charming, life-affirming - until you read it again, and perhaps it's none of these things. Is it more about seeing the world in a different way, about the dangers of living, of thinking, of being part of your world and of rejecting it? Maybe it's all of those things. Gray wrote it when he was 16 and, brief as it is, a lot of the themes and obsessions that will last him (and us) a lifetime are already there.

At the launch of Every Short Story 1951-2012, fittingly in Glasgow's Gallery of Modern Art, the chair reasonably enough attempted to give some shape to proceedings, suggesting topics, the tried-and-tested formula of questions and answers. But there's no moulding an intelligence like Alasdair Gray's, or his sense of fun, or that poetic short-circuiting of the master storyteller. He famously frustrated Jeremy Paxman with his tendency to jump from one idea to another seemingly unrelated one. But give Gray the floor and it's like a bird in flight, his conversation soaring and wheeling, but eventually coming to rest at an unexpected but utterly logical place. The question is always answered.

His stories are like that too. I've no doubt that, with a lot of study, a scholar could detect different tones and moods, particular obsessions, in each of the six previously published collections and one new one. But throughout the complete stories Gray's startling imagination veers dizzyingly between fantasy and naturalism, sci-fi and agit-prop, modernism and traditional storytelling. He plays with text and ideas and images, often all three in the same piece. He demolishes the very idea of the short story, freeing it up for future generations. (Then again, in an early offering like Logopandocy, he reimagines the very idea of layout so fundamentally there's not a lot of point in anyone else having a bash.)

In The Story Of A Recluse (from Lean Tales, the 1985 collaboration with James Kelman and Agnes Owen – one of the most important books of my life), Gray develops not only a full narrative from a fragment left behind by his hero, Robert Louis Stevenson, but also discusses what a story is. What's extraordinary is that the two elements – the tale, and the making of a tale – at no point get in the way of each other. Gray's power is such that we put aside the lesson on writing the moment he's back in Jamie's story. This concoction, not just of styles and genres but of disciplines, completely different activities barging in on each other, can only be the work of a master.

What a terrible cliche it is to say there's something for everyone here. But there just is. Simple little anecdotes, near-novellas, odd wee cameos, hilarity, scholarship, dirty bits, deft political insight - Gray is God's gift to Scotland (and he's terrific on G/god(s) too).

At the Gallery of Modern Art, Gray half-conceded (as I heard it) that his stories have moved steadily from a kind of "magical realism" in the early books to "social realism" in his last, new, set. But I don't quite believe it. Gray himself said he was more inspired by the yarns of HG Wells and Stevenson than, say, a Marquez. (If he has a Latin American cousin, it'd be Borges or Juan Rulfo.)

That tale-spinning, playing with realities, continues right up to the penultimate story. (The ultimate threatens to be just that – the last he'll ever write. I don't believe that either. These stories make you an optimist.) Billy Semple, I feel, has a lot in common with The Star, more than half a century earlier – but from an old man's point of view. In the early stories there's the search for an identity. These contraptions we all have to make, the face we put on show to the world and, inwardly, to ourselves. Billy Semple and Eustace question the whole notion of identity, what it is to be anyone. Not recognising even yourself. The new collection kept reminding me of Dylan's line "Sometimes I think nobody ever saw me here at all".

Why should Gray even consider making these stories his last? He has lost none of his eye for the telling detail; finding the nugget of beauty, the weirdness, the sensuality in the higgledy-pigglediness of everyday life. I get a more European feel from his later stories – touches of Kafka and Roth and Kundera – but Riddrie is never far away. Norman Mailer used to ask his audiences: "Why are you here? Everything I have fought for has been defeated. Everything I despised, victorious." Perhaps over these 75 stories, scores of illustrations and the tell-tale funny Endnotes, we can see Gray's own regret at the gradual loss of everything the young Alasdair held dear: the welfare state, libraries, the NHS. Progress, and the potential creative power of Scotland's working class.

To try to sum up such a kaleidoscopic collection as this is beyond me. Alasdair Gray creates so many different things. To paraphrase Gray's long time colleague and sometimes collaborator Liz Lochhead: I dinna ken whit like your Alasdair Gray is. Here's (one of) mine.

Every Short Story 1951-2012

Alasdair Gray, Canongate, £30