Arthur Conan Doyle's Favorite Adventures  
The Speckled Band SPEC
The Red-Headed League REDH
The Dancing men DANC
The Final Problem  FINA
A Scandal in Bohemia SCAN
The Empty House EMPT
The Five Orange Pips FIVE
The Second Stain SECO
The Devil's Foot DEVI
The Priory School PRIO
The Musgrave Ritual MUSG
The Reigate Puzzle REIG
The 4-letter abbreviations were begun by J. Finley Christ years ago. Sherlockians know the entire list and often use them in quotes or articles.  
Thanks to the Nashville Scholars for the link.