I’ve owned a complete anthology of Sherlock Holmes for at least 20 years. When I read it, I usually reach for stories in the The Adventures of Sherlock Holmes or The Memoirs of Sherlock Holmes. These are stories that are familiar to me. If I have more time, I’ll read *The Hound of the Baskervilles. *
I’ll read *The Return of Sherlock Holmes *from time to time.
His Last Bow and The Case Book might get some attention on an insomnia night or if I’m off work the next day.
A Study in Scarlet and The Sign of the Four only get attention when I want to start off strong but be asleep early.
The first time I ever read Sherlock Holmes, I was kind of young, and I read the whole Complete from start to finish. In later years, I did so again. In between times I may have read The Hound of the Baskervilles, and perhaps some other stories and novels on their own, but when I “read Sherlock Holmes” it’s the whole thing at once.
First time, I also just read the whole Canon, beginning at the beginning and continuing until I came to the end, when I stopped. Nowadays, since I’ve read each story many times, I do sometimes just go for favorites. For instance, the new BBC show SHERLOCK inspired me to re-read “Study in Scarlet” and “The Dancing Men.”
I’ve also got the Baring-Gould The Annotated Sherlock Holmes which I highly recommend, you can usually find it at used book stores. He puts the stories in what he thinks is the correct chronology, and adds wonderful footnotes: some of which explain terms that are no longer familiar to us, and some of which are just there for the fun of it. See: Did Sherlock Holmes really exist? - The Straight Dope
I have a two-volume set of the Holmes stories, which I originally read all the way through. These days, I often just take up one volume or other and find a random story whenever I’m in the mood. I don’t know that annotated collection, though – I’ll have to look and see if I can find that.
I read the original canon in order when the mood strikes me. I’ll also read a couple of the modern SH novels - I particularly like The Seven Percent Solution.