In The Return of Sherlock Holmes, Holmes and Watson commit a crime for good and even witness a greater crime, but do nothing. This collection has quite a few stories which highlights Sherlock Holmes as someone between the gray area of the official law and that of private matters. He is not amoral nor a vigilante, but he is not a police man; if law is broken, he is not obligated to reveal all. The stories in this are even more violent than before; I guess turn of the century allowed for Sir Arthur Conan Doyle to be more aggressive in his plots and characters.
The Valley of Fear is the last of the novels, but not of the Holmes canon. It as violent as Return of Sherlock Holmes relative to the earlier stories. It is very similar to the first Holmes novel/story The Study of Scarlet. It is not in the same style as Hound of the Baskervilles (which is more gothic in feel), and like SoS, two sections, one of which does not have Holmes or Watson at all. It is more clever than the first novel though, and I liked parts of the plot and the characters. Like many, I do think these stories are better in short story form since the flashback section can drag on. The ending felt a bit anticlimactic to me though.