Now this is one of my favourite things. I first came across this in my copy of Fragile Things but the version here is the audiobook read by Gaiman.
The story re-imagines the Holmes universe in line with a Lovecraftian setting whereby the old ones have returned and have dominion over humanity. The story finds a returning soldier (from Afghanistan) take up lodgings with a 'consulting detective'. He becomes the detective's companion and they are soon embroiled in the investigation of a death of a member of the Bohemian royal family.
The story borrows strongly, liberally and enjoyably from the Holmes mythos to produce a tale that is a ridiculous amount of fun.
I'm having to go out of my way to avoid giving anything at all away here so you'll please excuse if this review is brief but because Mr. Gaiman is a gent the story is available as a pdf below.