Part adventure, part mystery, part romance... these are books with grit, wit, and magic.
Note: Because so many urban fantasies are written in series, I'm only posting the first book of any given series for recommendation. Beyond that, I figure you can use your own judgement to decide if you want to keep going.
In alphabetical order:
The Cruel Prince by Holly Black
A very dark faerie world that exists parallel to our own depicted in spellbinding detail. This book drew me in right away with a scene that was both exciting and emotionally powerful, and that set the pace for the entire book. The plot was good, but it was the character development and interaction that really carried the story through to its satisfying conclusion.
Dead Until Dark by Charlaine Harris
This kicks off Harris' Sookie Stackhouse series, in which a waitress with telepathic abilities becomes embroiled in the paranormal world of vampires and werewolves. As a side note, there are quite a few sex scenes in these books and they can also be classified as Paranormal Romance.
Guilty Pleasures by Laurell K. Hamilton
The first book in the Anita Blake: Vampire Hunter series follows a woman who makes her living re-animating the dead and spends her free time killing the undead who've stepped out of line. Also a Paranormal Romance series. Disclaimer: I stopped reading this series after about the 13th or 14th book. For me, the books became too focused on Anita's increasingly promiscuous sex life and distracted from the actual stories. I did however enjoy the beginning of the series. Hamilton's world and writing were wonderful.
Hounded by Kevin Hearne
Hounded marks the beginning of the Iron Druid series, in which the last of the ancient druids lives in modern-day Arizona, where he runs an occult bookshop, shape-shifts, and tries to avoid the notice of the plethora of gods he's managed to piss off in his twenty-one centuries on Earth.
Kitty and the Midnight Hour by Carrie Vaughn
In this series, Kitty Norville is a werewolf DJ who hosts a late-night advice show for supernaturals. Unlike most urban fantasy novels, Kitty is not a kick-ass heroine. In fact, she is at the bottom of the pack... in every way. She does grow a good deal through the story, but if you are sensitive to women in abusive situations you may not like reading this book.
Magic Bites by Ilona Andrews
The Kate Daniels series is set in a world where magic and science exist side by side, but not at the same time. Waves of magic wash across the land and recede unpredictably. When the magic is up you can cast spells but your car, phone, gun, etc. turn into paperweights. When the magic is gone, technology works, but you can kiss your paranatural abilities goodbye.
Moon Called by Patricia Briggs
In this series, Mercy Thompson is a mechanic who also happens to be a coyote shape-shifter raised to run with wolves. Or, in this case, werewolves. Her neighbor is the area alpha, and they butt heads more often than not in a developing love-hate relationship that unfolds amid a number of dangerous adventures.
Obsidean Son by Shayne Silvers
The Nate Temple Chronicles takes its snark seriously. The situations are often comical and the dialogue defaults to witty repartee in the vein of the Princess Bride.
Rosemary and Rue by Seanan McGuire
This is the first book in the October Daye series, which follows private investigator and changeling knight October "Toby" Daye on a number of adventures both in the recognizable world of San Francisco and in the Summerlands inhabited by the immortal fae.
Soulless by Gail Carriger
A novel that mixes Victorian steampunk with classic paranormal creatures and throws in a few unique twists for good measure. This novel is book one in The Parasol Protectorate series staring Alexia Tarabotti, who is a soulless human who can nullify the magics of other creatures. Witty and whimsical, this series is a fast, fun read.
Storm Front by Jim Butcher
This starts Butcher's hugely acclaimed Dresden Files series, which follows private investigator / wizard Harry Dresden as he helps the Chicago PD solve cases that are beyond the range of human understanding, and ability.
Sunshine by Robin McKinley
This is a standalone book, though I would have loved to delve deeper into this world. The story focuses on a girl who is able to allow a vampire to walk through sunlight so long as she is touching him. Together, they face off against the other, nastier vampires in the area.
Written in Red by Ann Bishop
This is the beginning of Bishop's terrific Others series, set in a world where humans occupy only a small portion of the planet and the rest is controlled by the mysterious, powerful creatures known as the others. The main characters are a woman raised in captivity who can see the future by cutting her skin and a Wolfguard man (basically a shape-shifter with a wolf and human form). One of the most unique aspects of this world is that the shifters are not humans who become beasts, but closer to beasts who take the forms of humans in order to walk among them.