The Complete Sherlock Holmes Canon: another online collection of the complete Canon, which has the option to download all the books and short stories in various formats, either together or in separate collections (Adventures, Memoirs, Return, etc.)
Lit2Go: A handy source for public domain literature, including Sir Arthur Conan Doyle's works
I Hear of Sherlock Everywhere: a site dedicated to "News and Information About Sherlock Holmes in Popular Culture." I am an occasional contributor to the site myself. I've written a few film reviews and other articles over the past several years.
The Sherlock Holmes Museum: despite the fact that's it not a beautiful website, it does have a neat little virtual tour of the museum, as well as some interesting links
The Diogenes Club: although this site does not play well with my Google Chome Quicktime plug-in, there is actually a wealth of material here, if you have the patience to find it (seems to work better with Internet Explorer)
sherlockian-sherlock.com: I hesitate to recommend this site, as it's a bit of a mess. However, there's actually a lot of good stuff here, if you're willing to wade through the dreck. (If much of the language on the site seems a bit odd, you should know that the site is based in Hungary, and apparently translated into English.)
If one clicks on this photograph, one will encounter Watson's admittedly sensationalized accounts of my endeavours.