Where did you get Cotillion and Footsteps in the Dark for free? Was it Sourcebooks?
I got one of Heyer's books, The Black Moth, free from
www.girlebooks.com, which is a wonderful site.

One of their reviewers claims These Old Shades changes the names and some of the details but carries on essentially the same characters from The Black Moth, Heyer's first book.
I like all the books Sourcebooks lists as Regencies except Beauvallet (not a Regency), Cousin Kate, and The Reluctant Widow. I've only read a few of the mysteries. In the Historical section on Sourcebooks don't miss An Infamous Army (already mentioned by Blossom).
My all-time favorite is The Masqueraders (not a Regency), or whichever book I've forgotten enough to enjoy reading again.