There are many collections of mystery stories with detectives, and here a a couple of my favorites. I'll be adding any other good ones I read.
Once Upon A Crime edited by Ed Gorman featuring Sharyn McCrumb, Joan Hess, John Lutz, and others. This book has a well-rounded collection of stories featuring detectives (most of them) that are based on fairy tales, more or less. They're all good stories, some great even without knowing the original fairy tale, like "Resurrection Joe" or "'The Twelve Dancing Princesses' Revisited." Plus, since they're all different stories, you can just read from anywhere in the book. =) I just think it's cool. Plus, there's an interesting picture of the wolf-impersonating-as-Grandma from Red Riding Hood, with a quilt of crime-based patches.
Another one that's good is Morse's Greatest Mystery and other stories by Colin Dexter. Sure, some of the stories have to do with the grumpy ol' Inspector, (who is the best of the oldest) but the others are various, including a Sherlock Holmes one, which has a pretty suprising twist. "Morse's Greatest Mystery" has a nice bit of sentimentality that you don't normally get from detective stories. In any case, they're good for a nice bit of reading. back to front