1. A Study in Scarlet (1887)
2. The Sign of Four (1890)
3. The Hound of the Baskervilles (1902)
4. The Valley of Fear (1915)
Note:
* The novels are listed in the order of their original publication, not necessarily the order in which the events happen in the stories.
* While "The Hound of the Baskervilles" is considered to be one of the most famous Sherlock Holmes novels, it was actually the third one published.