Project Gutenberg books also include a (linked) table of contents, at least the ePub (which Kindle can't read) and HTML versions.
Well I bought it for two reasons. The first being that it was all in one as opposed to what I found on Gutenberg was still split up into the original publications (Four separate novels and then the separate collections of short stories). Second being that I did not find a version that had a linked table of contents. Now, maybe the ePub did, I was using the Kindle version (mobi) and there are multiple versions of the books. I just didn't find it in the amount of time that I was willing to spend. Christ, a buck or two is worth saving the time. Plus I was able to get a preview and compared a few of the compilations available from the Kindle store to choose the one that I preferred in terms of formating and table of contents.
I was also happy to see that the images in "The Adventure of the Dancing Men" were also properly reproduced in my copy as well. I recall that some of the free copies omitted these pictures.
EDIT: For similar reasons I also chose to purchase a copy of Dante's Divine Comedy instead of using the Gutenberg offerings. Yes, it is the same translation as was offered but I did not find one that suited my tastes in terms of formating and table of contents. So I was willing to shell out a buck for the paid version. In contrast, I do have free versions of "The Affair at Styles," "The Republic," "A Christmas Carol," and other novels. It's just that for something that is a large compilation I prefer to spend the odd dollar or two to get a properly linked table of contents since navigating blind through an e-book on the Kindle is still a terrible task.