All have a great English sensibility about them that I keenly identify with due to my WASPish upbringing which ads to my enjoyment. Its easy to slip into the role of the protagonist when they are so similar to yourself or those you know.
That said, The 39 Steps, in my mind was the weakest of the group with the exception of Dance of the Dwarfs. Not that it wasn't enjoyable, it was. Buchan asks too much suspension of disbelief however for the story to have a great effect on the reader.
Richard Hannay, the protagonist is ID'd incorrectly as the murderer of a man holding critical information as to an impending German invasion of England. His response to this is to go on the run across Scotland. Bouncing from cottage to cottage, hotel to house, forest to river, Hannay is always one half step quicker than his pursuers. Unfortunately it comes off more that his trackers are stupid and bumbling than Hannay is skilled and capable. Again and again it is by the merest stroke of luck that Hannay isn't killed or captured while one should never fear as always at the most opportune moment shall a key item or piece of information fall into his hands.
Yes, I know this is a piece of fiction and that you have to have some "coincidences" to push the action along at times but you cannot fill a novel with deus ex machinas or else your reader will lose their sense of impending danger and wonder, knowing that no matter what happens, the author will always provide a convenient way out for the protagonist--and that's what happens here.
The novel has been heavily modified into both plays and films multiple times over the past 100 years, beefing up the storyline with love interests and female characters and a complete redo of the key plot elements so that the novel does not resemble the film or plays in much beyond some of the character names. Given that 39 Steps is one of Hitchcock's early films, I will need to go back and watch it as it is claimed to be the start of all action, chase and thriller films to come.
Overall the novel is worth reading for its content and thematic core that falls into place with the other books mentioned above to form a common thread of works defining the British pre-war and interwar periods as well as portraying a very English version of what a heroic male is to be in this period--smart, self sufficient, honorable, loyal to country, able to withstand harsh conditions...almost a cross between a Boy Scout and a member of MI6...Not such a bad thing to aspire to...