His first sound film was Blackmail in 1929. It was originally shot as a silent movie, but when sound came out during the making of the film, Hitchcock reshot it in order to have sound. The lead actress's voice was dubbed as she had a very heavy German accent. This is the story of a young girl who commits murder in the process of defending herself from a rapist. She is seen committing the act and her glove, which she leaves at the scene, is used to blackmail her and her detective boyfriend. Watch for Hitchcock's cameo as he is being bothered by a little boy in the subway.
In 1930, Hitchcock directed Murder!. This is the story of a young female actress who is found standing next to the body of another member of the troupe. She is arrested and tried for murder. She is convicted but one member of the jury is not quite convinced. He tries to prove her innocence. An interesting note, a German version entitled Mary was filmed at the same time using the same sets but German actors. Hitchcock's cameo is about an hour into the film. He is seen walking past the house where the murder was committed.
39 Steps was made in 1935. Coming off a slump of several movies that he was forced to make by the studio and which he did not like, this one is his triumphant comeback. A classic Hitchcock thriller, about a man who meets a woman in a theater who is being chased by foreign secret agents. He offers to help her and takes her back to his place. They are followed and she ends up dead in the morning. Now he must find the spies and prove his innocence. The Hitchcock cameo comes seven minutes into the film when he can be seen throwing away some trash as the woman and man run from the theater in which they meet.