Lots of great stuff in this thread!
The four issue NOW Comics Sting of the Green Hornet series (with art by Jeff Butler, who did a fair amount of RPG art) was set as WWII was starting and dealt with espionage and foreign sabotage instead of gangland crime. At one point, a Not-The-Shadow gives the Hornet some information about where the next phase of the Nazi plot is going down, telling him "I'm heading to Europe to deal with something else urgent, you deal with this." And it was Nazis going after a US Super Soldier project, the result of which was not Captain America, but was along those lines.
The Shadow was used like that in the later issues of the Rocketeer, and in the comic, the rocket pack was invented by Doc Savage, not Howard Hughes.
I don't think anyone has touched on the aviator heroes... G-8 and his Battle Aces were mentioned a bit, a pulp set in WWI with the Germans deploying mad science projects being deployed against the allied forces on a regular basis. Like an early version of the Blackhawks, come to think of it. Also, Airboy, the teenage ace pilot with an advanced aircraft. The first story in George RR Martin's Wild Cards anthology, "Thirty Minutes over Broadway" stars and encapsulates the life of Jetboy, an Airboy tribute.
The late, great Aaron Allston did two novels that were a love letter to pulp and Doc Savage in particular, Doc Sidhe and Sidhe Devil, with the idea that the realm of the fae runs some decades behind the Earth in trends and development, so it's still the 1930s there, and there's a multi-gifted hero who rights wrongs because it's the right thing to do, one Doc Sidhe. The first book is available to read free here at the Baen Library.
http://www.baen.com/Chapters/0671876627/0671876627.htm