The 'Urban Fantasy' genre is generally defined as a story set in the modern world but with supernatural elements.  This can be a wide umbrella, but a lot of the best selling stuff has one other common theme: a strong, saucy female character who kicks butt. Browse the bookstore and you'll see tons of covers with hot chicks in mid-riff revealing leather carrying guns, swords, or both.  I happen to like these stories when they are well done.

And for me the best is the Anita Blake series by Laurel K. Hamilton.

The series is pure awesome.  It is about a spitfire of a woman torn between the love of a vampire and a werewolf.  Now, before you compare Anita to Twilight or any of the others, understand that the first novel was published back in 1993.  And it had way more of an edge.

Anita Blake, the Vampire Executioner, is no shrinking violet, no love lorn high school student.  She is a killer.  She is a wonderfully complex character - but it never gets in the way of the action.  She raises the dead, is an expert with a wide variety of firearms, and prefers the direct approach to problems - shoot it or smash it.  But Hamilton gives her a feminine, human side as well.

I should caveat this recommendation with this warning: Laurel K. Hamilton likes romance novels too.  Sometimes her books can get a little, um, risque, which does not interest me.  For me personally, the romance aspects of the books started to turn me off by about book 8 (Blue Moon) and the stories became more romance novel than urban fantasy for my taste.  But the first 7 books are amazing.

Anyhoo, I was majorly influenced by how Laurel wrote action sequences with equal parts humor and horror.  Characters that can crack jokes in the middle of certain death.  And protagonists that just plain kick the hell out of whatever they are up against.

Try Guilty Pleasures.  You can actually get the first two chapters free.  Anita Blake rules.