Horrid Henry is great. My six year old loves him, probably because Henry gets away with all sorts of mischief that would have him banned from the Wii faster than it would take to say "Stop being Horrid, Henry".
There are some great stories in this one, but our absolute favourite is "Horrid Henry Meets The Queen". As you may well expect, Her Majesty is in for quite an unforgettable day! We also like the story of Horrid Henry and his dance class. We fell about laughing at his antics.
We are relatively new to Henry, so these compilations are a great way for getting the books quite cheaply.