I listened to that one, not realising it was set in an established universe. I liked it, it's a good story, possibly not best suited to audio format because it cuts back and forth. It's very, very English -- loved it! Reminded me of the many happy years I lived in England. Interesting universe, too -- might look up his other stuff.
The Atrocity Archive is excellent, and the first Laundry story. I'd also recommend Glasshouse which, on the one hand Stross wrote as an elaborate parody but on the other actually works as a singularly smart, nasty novel in it's own right. I have severe issues with pretty much all his recent pop cultural commentary but as a fiction writer there are few better.