One warning: While "Study in Emerald" is good enough to enjoy on it's own, the reader will get a thousand times more from it if he or she has at least a passing familiarity with the Sherlock Holmes canon by Arthur Conan Doyle and/or Lovecraft's Cthulu mythos. I am not a Lovecraft gal, but I'm addicted to Holmes. The friend who sent me the pdf of Neil Gaiman's story loves both. "Study in Emerald" is brilliant, but because its brilliance is tied into how well Gaiman uses the Doyle and Lovecraft material, knowing the two narrative contexts helps.
Okay, that said, I want to be sure not to scare people off because this is one hell of a short story. Lovely use of period language (terrific Victorian 1st person POV), lovely description and a beautiful subtle twist of an ending. Just wow. It's available free online here. And be sure to read the advertisements that are sprinkled throughout the text - I especially liked the one for Vlad Tepes's Exsanguination Service. Too funny.
For the lit. geek with a fondness for Victorian mystery and/or existential horror (love that that I can actually classify that as a subgenre), "Study in Emerald" might just be the best short story you'll come across in a very long time.