I third the recommendation for Amelia Peabody. I also like the Ethan Gage series by William Dietrich set in Egypt. I am currently reading Book 2 of the Cassie Maddox series by Tana French, police detective mysteries set around Dublin. If you are looking for something classic, I like the Edgar Allan Poe short stories featuring C Auguste Dupin set in Paris (look up Murders in the Rue Morgue
). Dupin's character was the precursor to other famous detectives like Sherlock Holmes and Hercule Poirot.
This website has a very good list.