Touch of the Demon by Diana Rowland really was a game changer for the series. While some lamented it's departure from an urban, police procedural, I loved the inclusion of the demon world and fantasy elements.
The Dead of Winter by Lee Collins is a western with paranormal elents. It features one of my favorite characters, a woman who has spent most of her life fighting things that go bump in the night.
Blade Song by J.C. Daniels was a really good Urban Fantasy with Romance. Great dialogue, interesting characters, los of action.