This omnibus edition of all the Lord Peter Wimsey short stories consists of the stories from _Hangman's Holiday_, _In the Teeth of the Evidence_, _Lord Peter Views the Body_, and _Striding Folly_ (the final 3 stories of _Lord Peter_), those of _Striding Folly_ being the most difficult to get outside the omnibus edition. See reviews of the individual collections if you want a more detailed discussion of the contents. If you get the omnibus _Lord Peter_, be aware that it contains the complete text of _Lord Peter Views the Body_, while HH and Teeth contain non-Wimsey stories that are worth having. If you're interested in an unabridged audio version, check out those for the individual volumes that have been cannibalized for the omnibus edition; Ian Carmichael has narrated unabridged recordings of most of the short stories, with the exception (so far) of a few that turn on visual clues given in the text.
I find the 2 stories from Teeth uninteresting, but those from HH are enjoyable. The stories from _Lord Peter Views the Body_ all predate the events of _Strong Poison_ - that is, they occur years before Lord Peter met Harriet Vane. In fact, some occur within two years of the end of WWI, such as "The Vindictive Story of the Footsteps That Ran", set in June 1921. For the most part, most of my favorite Lord Peter short stories fall into this group, with the exception of "The Undignified Melodrama of the Bone of Contention", an enormous (and to me, tedious) novella wherein the will of a recently deceased old reprobate was deliberately designed to create bad blood between his sons. Apart from that, we have such gems as the Attenbury diamond case, mentioned in later years as having started Lord Peter on his hobby of detection, a case featuring Lord St. George as a child staying in the Piccadilly flat (and featuring the first appearance of Bill Rumm, who later appeared in _Strong Poison_). We even have "The Fascinating Problem of Uncle Meleager's Will", wherein Lady Mary persuades her brother to help a friend with Red politics find her uncle's missing will. (It's much more entertaining than Hercule Poirot's only foray into a case of this kind, and more sophisticated than Jane Marple's only such case - Uncle Meleager had a wicked sense of humor.)
Harriet Vane appears only in the last two stories, both from _Striding Folly_: "The Haunted Policeman" and "Talboys", neither involving murder and both set after the events of _Thrones, Dominations_.