Fantasy short story collection with giant murderous bird, a man who dies and returns as a woman and everyone wearing Egyptian style jewellery

Question

I read this book twice (so I know I am not dreaming) about 12-15 years ago. I pulled it from the stacks of a rinky-dink library in a rinky-dink little southern town. They probably filed it wrong as sci-fi when they meant it to be fantasy or vice versa. Here are some details about the book:

1. There is a giant bird stalking and killing people in England (I think England).
2. There is a character that is a man who dies and returns as a woman.
3. At one point in the book everyone is wearing Egyptian style jewellery and clothing as like a fashion forward thing.
4. The book was a series of interconnected stories with a VERY Poe-ish feeling to them.

Answer 1

The OP has said in a (now-deleted) comment that it is...

The Secret Books of Paradys, by Tanith Lee

F***ing TANITH LEE!! The Secret Books of Paradys...I found it. I literally had to scan through the library online catalogue for my childhood town (like 1800 books) until my memory went THERE THAT YES. I ordered the full series off Amazon. Mission impossible completed. – J Lanay Jul 26 at 2:42

I've taken the effort of going through to find how it matches the description.

There is a giant bird stalking and killing people in England (I think England).

Yep; there is a large bird killing people:

The corpse, which seemed to have been attacked by a giant bird, was accordingly rendered into ashes.

[..]

And in the cart, on top of the sacks, was a huge rock of a bird, black-caped like a nun, with a breast of ice, and an amber blaze against the blade of its beak, which resembled — or might have been — obsidian.

There is a character that is a man who dies and returns as a woman.

Yep; this indeed happens:

I screamed aloud and my eyes flew open. My hands flew up, and took hold of the flimsy botched coffin, and broke it. It shattered around me and the earth poured in, and like a fish leaping from some depth of water, I drove myself upward. I exploded from the pit in a fountain of blackness, soil and stones and splintered wood. Almost asphyxiated, I kneeled in the broken grave, retching and coughing and choking for air; all the horrors of birth.

[...]

I met an old rag-picker, an old bent woman, as I was leaving the cemetery. She stared at me, as the moon had done. "Oh, lady," she said, "oh lady are you in a fix."
"I shall be better soon."
"I thought it was a man," she said, "a boy. But there's grave-dirt in your hair."

[...]

Here I was still in both their clothes, the garments of the blond Philippe, and of the young man who, until very recently (but how recently?), had been myself.

There are a few mention of Egyptian-style jewellery...:

He had brought nothing away. But Curt, dispatched on Rudolf Vlok's orders, had scurried about the house, packed clothes and personal items, and included in his itinerary the the Garb-Egyptian dress, wig and jewellery he had found lying on the study floor.

...but I can't find much that would indicate that it's common without reading the entire book.

Quotes found using Google Books.