I haven't read any of these but the Ian Rankine (Rebus) books tend to be good. The Walter Scott books tend to be very long, I haven't read them but have read his poems which are really far more interesting. Bought an audio book of Ivanhoe and couldn't even manage that - very bad considering I live less than 5 miles from his home.
I have however read one or two set in the Borders which include
The Cunning Woman's Cup by Sue Hewitt set in Berwickshire.
Hadrian's Trader by Richard Yeo - set near Melrose during Roman times.
After Flodden by Rosemary Goring - again this was very interesting. I then bought Dacre's War which wasn't quite so gripping.
Most of these are set in the Borders although Flodden is still remembered today in Selkirk on Common Riding Day.