The Black Dahlia by James Ellroy. This was the best of his 'L.A. Quartet'...L.A. Confidential was made into a good movie from one of the books, but this book is pretty amazing. Especially good if you have a bit of knowledge about Hollywood movies from the 1940's. Wouldn't especially recommend the other books in the quarted.

The last series I read that I enjoyed was by a guy named Steven Saylor. The Gordianus the Finder series. Clear, good prose about ancient Rome. No detectives back then, but Gordianus was a 'finder', and various Caesers and Cicero and such people would come to him to discretely look into matters. The mysteries aren't much, but the books take you to a different place, like sci fi does. Usually in the detective section of used book stores, I believe.