I'm going to nominate "Raffles: The Amateur Cracksman", by E.W. Horning.
Just in case anyone isn't familiar with it, Raffles is a "gentleman thief", who commits daring robberies (mainly jewel robberies) in upper-class Victorian society, while at the same time maintaining his outward persona as a respectable gentleman and England cricketer. He is accompanied in his adventures by his faithful sidekick Harry "Bunny" Manders.
Hornung was Arthur Conan Doyle's brother-in-law (and the book is dedicated "To A.C.D.") and Raffles was deliberately created as a mirror image to Conan Doyle's Sherlock Holmes.
The book contains eight separate short stories, but they form an on-going story and should be read in order.
Hornung died in 1921, and the book is in the public domain everywhere. It can be downloaded here at MR, eg as the first book in my "Raffles Omnibus" (which contains all of the "Raffles" stories: three books of short stories and a novel).