Two more novels that I think people who love Penny Dreadful would like are The Moonstone by Wilkie Collins and The Island of Doctor Moreau by H. G. Wells. I'm such a Victorian-literature nerd that I've actually been to the Charles Dickens museum in London.
The Victorian lit is incredible. I am so glad I had teachers who encouraged us to read those and Shakespeare. They have a Charles Dickens museum? Who wouldn't want to go there wouldn't be allowed to travel with me.