Following up on the post discussing vintage burglar's tools, I stumbled across a fantastic resource for crime in the classic Mythos era of the 1920s- "Keys to Crookdom" By George Cochran Henderson. The book was published in 1924 and is notable for popularizing a variety of criminal slang, including "bum steer" and "bootlegger".
From what I can find, Henderson was a California-based journalist and writer who specialized in true-crime articles for newspapers and magazines through the 20s and 30s. Over that time span he also wrote seven novels, primarily pulpy westerns like "The Killers" and "The Phantom Outlaw: Singing Lead". "Keys to Crookdom" was his only non-fiction book.
I was primarily interested in period burglar's tools, but the book covers every aspect of the criminal underworld. That includes safe cracking, automobile theft, pickpocketing, swindlers, forgery, con men, arsonists, and the illicit liquor and drug trades. Two other varieties of crime were particularly notable. The first is fraudulent mediums. Henderson has a good overview of the spirit game, including some of the techniques used to convince marks they were actually talking with the dead. Those handy details would be ideal for a period Call of Cthulhu game.
Banditry was the other outlaw trade that drew my attention. I was genuinely shocked by how common highway robbery and home invasions seemed to be in the 1920s. Figures like Bonnie and Clyde might get all the headlines, but they were just following in the footsteps of a well-established criminal career.
As a heads up, by modern standards the book contains some shockingly racist and sexist content.