well I got caught up on Lost Girl and I am so hooked I love. though I don't know much about the faye other than D & D faye or fairies.
Well, they aren't specifically Fae, as in Dresden Files or True Blood fairies. They're just using the term to describe supernatural beings in general. So far we've seen a Succubus (Bo), a Werewolf (Dyson), a Siren (Hale), whatever Trick is, The Morrigan, who gave off a definite Vampire vibe, and now a Will-O-The-Wisps, and a couple of Dullahan/Headless Horseman.
If your interested, they do have a "FaeQ"
on the SYFY site, which features some quick info on a whole bunch of the different supernatural beings that are involved in the show.