Cover letters should definitely be short and to the point.
Other than that, there are things that are up to the submission details of the particular place you're sending your story to. It's worst when they want a cover letter, but they don't tell you what they want in it. * shudders * I hate that.
I've actually had difficulty trying to work out exactly what is to be on a cover letter a lot... it's been the most worrisome thing about story submissions for me so far. I like it best when they don't ask for one and just have a submissions manager, or instructions for sending via email without any cover letter.
So far, though, I've read dozens of online articles about how to write them, guessed where I couldn't get a good answer, and been as brief (a necessity) and neat as possible – and I haven't made any horrible mistakes yet, nothing any editors felt worth mentioning or ignoring me for. So I guess that's my advice on the subject. 
