I've visited the home of fictional character Sherlock Holmes at 221b Baker Street, London, and thought it was great, I was totally sucked in and temporarily forgot he wasn't a real person. Whoops! I'd be interested to hear about any other touristy spots linked to fictional crime characters. For example, I think there's a tour in Sweden which takes visitors around the locations featured in Stieg Larsson's Millennium Trilogy (The Girl with the Dragon Tattoo etc). Are there any more closer to home?
Not crime fiction, but you can do a Harry Potter (movie locations admitidly) walk through the London Walks people - http://www.walks.com/London_Walks_Home/Harry_Potter/default.aspx
You can do a Sherlock Holmes walk, although I'd be careful as some of them are run just to make money and don't really know what they're talking about (I'm a member of the Sherlock Holmes Society :P). There's much more to Holmes than Baker Street so you could check out some of the other locations mentioned within the canon.