If you like occult detective stories, I highly recommend The Mammoth Book of Dark Detectives, edited by Stephen Jones. Jones intro is a great overview of the genre, and it not only includes a variety of both classic stories and newer, hard to find stories, but it's all woven together by a series of pastiches written by Kim Newman.

I'm still very disappointed that Jacques Silette's _Detection_ is not available in our version of the multiverse.