Originally published in Doyle's Tales of Terror and Mystery, The Lost Special follows the confession of Herbert de Lernac as he recites the details of his masterful plan. The story features an implied cameo by Sherlock Holmes (no name is mentioned, but an "amateur reasoner" writes "It is one of the elementary principles of practical reasoning that when the impossible has been eliminated the residuum, HOWEVER IMPROBABLE, must contain the truth").
The short story was also recently adapted in the BBC series Sherlock, with the titular character investigating the disappearance of a London tube carriage.
The Lost Special
The short story is available in its entirety for free at Project Gutenberg or East of the Web. If you want to read on your Kindle you can download it here (send to Kindle instructions here).
Author: Arthur Conan Doyle
Word Count: 7,000 (about 28 pages)
The concept of The Lost Special is a strong one - a train vanishes on a straight line with no rational explanation. A similar setup was used by Jacques Futrelle in his 1907 short story The Phantom Motor (available here). Unfortunately for Doyle, Futrelle's solution offers a much more unusual and satisfying resolution.