The seashell press has a complete illustrated edition. That is the best version I have come across till now. It is a 38mb huge file (epub/mobi).
They have illustrations from the original strand and has book/magazine covers, maps, pictures of London (then and now), of Conan Doyle, various Sherlock Holmes actors/representations. Expect an image for every couple of pages or so through out. Many of the images are in color. Many stories/novels also come with notes (which are really essays of good length) with even more images/illustrations (800 illustrations in total and 200 in color, to be specific).
They even included the pictures of other items like carriages/villas/pipe etc. through out and images even from Chinese/other editions.
You can find details here:
http://www.theseashellpress.com/Sherlock/sherlock.html
Please check the introduction, TOC and sample story and the notes.
Amazon goes here:
http://www.amazon.com/Sherlock-Holme.../dp/B0052TAV12 , (only two reviews till now, though both commented it as the best Sherlock Holmes edition.
This is of course the best and most comprehensive edition of Sherlock Holmes ever.