The Professor Moriarty Novels, by Michael Kurland

The Infernal Device
Death by Gaslight
The Great Game
The Empress of India
(along with a few short stories)

Out of four novels, two manage to be brilliant, and one manages to be perfect. They are the kind of book you are always interested in, and never know what will happen next; with the answer being a complete surprise, while at the same time seeming like it should have been obvious. The only other series of books that good at doing it is Harry Potter. And, even while being nerve-wracking and suspenseful it has parts that make you laugh, and in the end will make you think and question and discover things.