I see people have already mentioned some I enjoy: Edgar Rice Burroughs, H. Rider Haggard.
But you might like to take a look at the Scarlet Pimpernel collection by Baroness Emmuska Orczy; also the Mr J.G. Reader series by Edgar Wallace (I couldn't really get into these the last time I tried, but might have been a mood thing).
I was going to mention the collections of works by Saki, but these are more in what you called "Delphi-esque" mode.
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