Lately I've been reading the "Continuing adventures of Sherlock Holmes" series from Titan Books. They're interesting, but most definitely not canon. The twist with these series is that they put Holmes in contact with characters/situations from other stories of the time. So far I've read:
Sherlock Holmes: The War of the Worlds (Holmes battles the Martian invaders, and has an affair with his landlady Mrs. Hudson while Watson remains oblivious) - Manly Wade Wellman
Sherlock Holmes: The Angel of the Opera (Holmes meets the Phantom of the Opera; "written" by Holmes' cousin Dr. Henry Vernier, who throws Watson completely under the bus) - Sam Siciliano
Sherlock Holmes: The Web Weaver (in which Watson is again thrown under the bus by Dr. Vernier and Holmes falls desperately in love but it remains unrequited) - Sam Siciliano
Sherlock Holmes: Seance for a Vampire (In which Holmes investigates the vampiric "rape" of a young woman, aided by his distant relative, Count Dracula) - Fred Saberhagen
There are many more. I've read eight or ten of them, and have another dozen or more to go. They are sometimes maddening, as they totally change the character of Holmes and/or Watson. Some of the authors try to recreate the whole story, with a notable example being Sam Siciliano, whose Holmes openly derides Watson, states that they were never friends, and basically denounces Watson as a hanger-on, almost a groupie or stalker. His Holmes is an ardent lover of women, and Holmes' life-long celibacy is explained in The Web Weaver as a pining for a married woman he cannot have.
Currently I'm reading Sherlock Holmes: The Stalwart Companions, in which a very young Holmes meets and befriends a very young Teddy Roosevelt in 1880 New York - and they solve a dastardly crime together. This book starts out with the author, H. Paul Jeffers, writing in first-person as a Holmes skeptic, only to find in the NYPD archives notes and letters from Holmes himself written to Roosevelt which describe the "adventure" they had together before Roosevelt became the NYPD Commissioner.
I'd recommend this series if you're a Holmes fan, but be warned - this is NOT Conan Doyle's Sherlock Holmes. And each book is different, and some are more miss than hit. But they're entertaining.