Sir Arthur Conan Doyle apparently wrote a short story clocking in at only 1,300 words, starring Sherlock Holmes and Dr. Watson in 1903 on the occasion of raising money for a bridge near Scotland that was washed away by a great flood in 1902.
The story is titled "Discovering the Border Burghs, and By Deduction, the Brig Bazaar." The full-text can be found here.
The short, somewhat self-parodic story has Sherlock Holmes explaining how it is he knows Dr. Watson is going near Scotland in aid of a bridge when he hadn't been told anything about the upcoming journey.
Anything new from the world's most beloved detective is a treat, a pity it isn't longer.
UPDATE: The authorship of this story is questioned by some experts. See my post "Authorship of 'Lost' Sherlock Holmes Story Questioned."
There are many collections of Sherlock Holmes stories available on Amazon, here is one of the more popular ones:
The Complete Sherlock Holmes (Illustrated)