OK, two(or more) suggestions no one touched on.
by Peter Boyett. Just re-released with new cover art. Great story, stunning. There's a unicorn and Japanese sword play, gangsters and magic set in the ruins of our world. Great story long out of print.
Glen Cook's Metal
series. Red Iron Nights
. Deadly Quicksilver Lies
. Sweet Silver Bells
. Detective Noir in a fantasy world. Very urban and gritty.
Also, Stalking the Unicorn
by Mike Resnick.