I like Chance's message over here a lot. It's inspired me to say a few things myself. Some of what I say may sound like it's contradicting Chance's thoughts, but I understand and agree with what she's saying in the essence of laundry lists of sundry publications as proof of your ability. This isn't necessarily a clincher for me to assume you're a good writer. But on the other hand, a laundry list of "professional" sales isn't a clincher for me either. So, with that qualification in mind, here I go:
I started out in the zines and they served me well. I do think, though, that you need to read the zines and get to know them. Some of them are worthwhile, the editors are serious about presenting good fiction even if they cannot pay professional rates or print the publication in a professional manner. But in a publishing realm with only a few professional markets, it's almost necessarily true that good stories are going to not get published, and what determines that is completely random.
I had a friend who thought it was "cute" when I published my first story ever in Lady Churchill's Rosebud Wristlet. LCRW had only been on issue 5 at that time. But I had a credit to list on cover letters afterwards, and several editors read the story and liked it, and when I submitted my next story to Strange Horizons, I got my first "professional" sale. That story then went on to be selected for The Year's Best Fantasy and Horror. My next story was then published in Nerve's sex and science fiction special edition. I continue to publish stories in zines occasionally, because I believe in what they do, what they stand for, and what they offer: an alternative market for stories that got passed over by four other editors, in most cases. Which doesn't mean a thing. There have been stories in zines selected for the Nebula ballot, reprinted in the various Year's Best anthologies, and discussed in earnest by readers of the zines. I think what all that adds up to is a neon sign, of sorts, a radioactive message. There are good stories not being published, and here is where many of them gather.
One of the interesting things to note is how the editors of the print science fiction and fantasy magazines often say that their subscriptions are dwindling. They wonder why. Some have tried to remedy this by attempting to "go back to genre roots" so to speak, by publishing stories that are "center of the genre", with voices that harken back to not only a decade ago, but perhaps several decades previous. I will be a bit of an ass here and publicly wonder if perhaps numbers in subscriptions dwindle because so often the stories being printed are speaking to a generation of readers who are dead.
And yet the zines somehow manage. Their numbers in readership are small, but I believe that's due to the lack of funding to create large print runs and to distribute the materials. I think magazines like McSweeneys is one big zine that had a whole lotta money pushing it into existence to make it what it is today. And if some of our fine zine editors out there working hard right now, like Christopher Rowe and Gwenda Bond, Gavin Grant and Kelly Link, Tim Pratt and Heather Shaw, John Klima and Steve Pasechnick, and others I'm sure I'm leaving out as I write this, forgive me, if they had the resources to invest in their publications, I believe there is an audience already out there waiting to read them. The audience just doesn't always know these zines exist.
You can, but perhaps shouldn't, have a notion of quality or professionalism based on cash flow. Stories, like people, are not numbers. As they say in the Fight Club, you are not your Gap Jeans. Your stories are not validated as "good" simply because you've been paid 5 cents a word or whatever the arbitrary amount is set to at the time due to various economic circumstances. Authors are not always paid for writing good stories. But we can make sure that good stories are still read and appreciated. In the end, the money you make off a "professionally" published story is helpful to your life in some ways, yes, but not to your stories. So many "professionally" published stories are nothing but lost in the ether of storyland. A friend of mine says that good stories out in the end. Over time the ones that need remembering rise to the surface. And I think this is true, and I also think those that rise through time aren't always necessarily published professionally. Or in some cases, hello Kafka and Ms. Dickinson, not published at all.