Firstly I'd like to say that this is a fantastic premise for an anthology! Being a fan of both Conan Doyle and Lovecraft, I couldn't resist getting my hands on this.
The stories themselves, as in many of these anthologies, contains a roughly equal number of hits and misses and a fair few near hits that are entertaining enough without being brilliant. In my opinion, the weakest stories are those that attempt to write a Conan Doyle story with Lovecraftian horror elements and succeed on neither front.
There are a few noteworthies, though, and these are the ones that attempt to go on a completely different tack to a "typical" Holmes or Lovecraft story. "Tiger! Tiger!" is an interesting tale featuring Sebastion Moran and Irene Adler in India (no sign of Holmes or Watson!) more in the style of a Rider Haggard action yarn than ACD or HPL. The Weeping Masks is another good-un set during Watson's army days in Afghanistan and Art in The Blood is a very successful "true" horror story.
The icing on the cake, however, is Neil Gaiman's "A Study in Emerald". It's fantastic and, in my opinion, worth the price of the book alone. I won't give the plot away, but it shows great respect and understanding to Conan Doyle and Lovecraft's creations while at the same time turning the whole thing on it's head.
So there you have it - although the anthology as a whole is pretty much a 3-star book, I personally was willing to go through the mediocre works to uncover the real gems (which adds another star on!). And, lets face it, even a mediocre story has got to be worth reading if it pits Holmes and Watson against the Cthulhu mythos!