I feel The 39 Steps has a lot in common with other adventure stories of the late 19th/ early 20th centuries. The hero is independently wealthy. However, it's also very character-driven; Hannay's career as a mining engineer and time in Africa have given him unique skills he has to draw on after a neighbour, who turns out to be a spy, is murdered in his flat and Hannay is forced to go on the run. While evading both the murderous German agents and the police, Hannay has to work out exactly what the Germans are plotting, and foil it.
Each chapter is a mini-adventure in itself. In one, for example, hemmed in by his pursuers Hannay disguises himself as a road mender. In another, he is actually captured and has to break free. This structure reminded me very much of Hornung's Raffles, Kipling's Kim and a lot of Edgar Wallace's work. It'd make an extremely good radio drama.
On the negative side, the attitude displayed, while generally liberal for their time, are of their time. The occasional referral to decent blokes as 'a white man' is especially jarring, though I've read infinitely worse in adventure stories from this era. Some of Hannay's strokes of luck are absurd, such as just happenning to encounter a politician with just the connections he needs at the Foreign Office. It's odd that Buchan should create such a realistic character and then put him in such incredible situations, but on the whole I enjoyed the story.
I've got all Hannay's other adventures to read, and now I'm keen to see the film versions too.