If you mean Conan Doyle's stories, they are all here! (http://spellbreaker.org/~chrender/Sherlock_Holmes/) My favourites are The Sign of Four, The Adventure of the Speckled Band and The Boscombe Valley Mystery, although so far I've only managed to read The Adventures of Sherlock Holmes and the four novels.
If you mean fic, however, I REALLY BLOODY LOVE THESE: These Things Were Promises (http://paperclipbitch.livejournal.com/128436.html) by paperclipbitch - it's kind of long (50,000-odd words I reckon), but the characterisation is spot-on and there is so much, so much UST and hurt/comfort! There is Holmes being protective, Watson being Watson, it's just... okay, so she got all their personality traits so right! I cannot praise this fic enough, seriously. READ IT.
Change, or Lack Thereof (http://shockselectric.livejournal.com/24136.html) by shockselectric has got Holmes lusting after Watson, and it ends in sex. It, well, okay, yes, it's porn, but it's good porn! I like when porn has a prelude that just builds up the tension, and then it delivers beautifully, which this fic does. Idk this girl is so far my favourite author in the 2009 Holmes fandom.
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If you mean fic, however, I REALLY BLOODY LOVE THESE:
These Things Were Promises (http://paperclipbitch.livejournal.com/128436.html) by
Change, or Lack Thereof (http://shockselectric.livejournal.com/24136.html) by
YEAHHHHHHHHHH