Since some others recommended The Dresden Files, I'm gonna go ahead and recommend a couple of my favorite Urban Fantasy series.
The Hollows/Rachel Morgan series by Kim Harrison
- Follows a witch in an alternate universe where, after genetically modified Tomatoes wiped out half of the human population, Vampires, Werewolves, Pixies, Witches, ect, (Inderlanders) came forward and now exist openly alongside the surviving humans. The series is set in Cincinnati, where the main character operates an independent detective agency alongside her Vampire roomate, and her Pixy friend. I've only read 2 of the 11 novels, and 1 of the 2 graphic novels in the series so far, but I absolutely loved all three of them. It has one of my favorite casts of any novels series I've read. There is also a short story collection and a companion book I haven't read yet.
Kate Daniels series by Ilona Andrews (actually a pen name used by Ilona and her husband Gordon)- Takes place in a near future (according to the timeline on the authors' website the 5 books released so far take place over 2040-2041) where magic goes through an unpredictable cycle of rising and falling. When magic is up technology stops and magic works, and when magic is down tech works and magic doesn't work. The series takes place in a post-apocalytic Atlanta, where the main character works as a mercenary mage. The series also features Vampires, Weres and other mythical creatures existing openly alongside regular humans. I've only read 1 of the 5 books in the series so far, but I loved it too. Kate is a fun, kick ass, sarcastic narrator, and there is a really interesting world built up around her.