The Dresden Files
just gets better as it goes along, in my opinion. Hope you enjoy the rest of them.
It's not Urban Fantasy but Jim Butcher's
other series, Codex Alera
is great too. It's set in a world where various species have appeared and made home, the humans on the planet are descended from Romans who were unlucky enough to get stuck there. Everyone has magic (of a sort) granted by beings who bond with them called Furies. They control various elements, wind, earth, fire, metal, water etc. and they're at war with various other species on the planet, Canim (giant dog creatures), Marat barbarians who bond with animals, Ice Men, and it's the story of one young man who doesn't have any Furies of his own.
I've read all of Simon R Green's The Nightside
books so far, I like them a lot but I wouldn't say they're as good as The Dresden Files and they get a bit samey in the middle. It's the story of John Taylor and a secret city within London called The Nightside, where all sorts of supernatural and technological things are possible.
I read The Devil You Know
the first Felix Castor
novel by Mike Carey
which I enjoyed enough to go out and buy the other three, but I haven't got round to the others yet. It's about a freelance exorcist and investigator called Felix Castor working in London.
David Mack's The Calling
was a good read, started off slow but I enjoyed it, hope he gets more in the series. It's about Tom Nash, an every day kinda guy who just happens to hear people's prayers, and helps out when he can.
The Remy Chandler
books by Thomas E. Sneigoski.
Remy Chandler is an Angel who decided after the war between heaven and hell that he didn't want to be part of it any more and came to Earth to live life as a human, but he keeps getting drawn back in to the affairs of heaven and hell.
They're the only ones I can think of right now.