In Gallows Thief (2002), Bernard Cornwell visits the gritty side of Regency London as a down-on-his-luck Waterloo veteran tries to save an innocent man from hanging, with the help of a motley set of allies ranging from his ex-fiancee (forced to break the betrothal by her social-climbing mother) to a dashing highwayman. And it's very good. I think I'd like it even better than the Sharpe books if only it were part of a series too, but as is I can't help being disappointed that I don't get to find out what happens next to Sandman, Berrigan, Eleanor, Sally, and the rest. Belmanoir really needs to read this one, since it reminded me in spots of both of the manuscripts of hers that I've critiqued.
(A word of warning, though--the book opens with a graphic depiction of a hanging. Not for the faint of heart, though I think it's the right choice for the story.)