OK, two(or more) suggestions no one touched on.
Ariel 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.
is by Steven R. Boyett. One of my favorite books. A really nice coming of age story.
Edit: Awesome news! Boyett is finally putting out a sequel! http://www.elegybeach.com/
For high magic and hi-tech you can't go wrong with the Shadowrun
Sorry. At least I got the last name right.
A sequel? Can't wait.