I use CMC and they have plenty of ASX stocks to go long and short on but they are CFD's of course.
There's one catch: It will cost you 41.50 a month just to get the ASX market data feed (prices) there.
It seems extremely excessive considering they just slapped a cost on US stocks data feed and it's only US$2 a month!!
Figure that one out. I dare say the ASX has it's finger in the pie to warrant such a cost.
The ASX now has an OTC (over the counter) market to go short ASX stocks but I have heard they are a bit thin on the ground for choice and the volume is weak, but they are available.
But if you want to go short, CFD's are the place to be.