A Kiss Before the Apocalypse by Thomas Sniegoski (2008)
Remy Chandler, self-exiled angel turned PI, deals with the impending demise of his mortal wife, even as he’s hired by former colleagues to find the missing Angel of Death. Decent noir and fantasy, the angelic twist livening up the “he lives among us” riff overused in vampire novels. But Remy is far too passive, as things happen to him more than the other way around, and while the story is good, the telling of it is slightly unengaged. A good read, not the great one it could be.
Dancing on the Head of a Pin by Thomas Sniegoski (2009)
Another Remy tale, with much moaning and gnashing of teeth about grief and the human condition, while still managing to ramp up the metaphysical menace. What can top the Apocalypse? They manage it, though both the heavenly and demonic glory don’t quite engage the way the do with other writers (Butcher comes to mind), and Remy still feels like too passive of a character, doing things at the behest of others (including his inner Seraph), rather than on his own.
Doc Sidhe by Aaron Allston (1995) 
While touted as a fantasy-driven Doc Savage knock-off, this tale of has more fun with the setting than with the genre — a Faerie connected to our own world with its own Depression Era tech (and magic) base. There’s lots of cool stuff in here, but the story is much more of the 90s pulp tradition (e.g., the Destroyer) than the 30s.
Mississippi Jack by L. A. Meyer (2007) 
More delightful “Bloody Jack” adventures of Jacky Faber, London street urchin turned adventurous young lady. In this case, she’s fleeing the Brits on a keel boat going down the Mississippi, which she’s “purchased” from the legendary Mike Fink and populated with the good friends she always manages to gather up. Throw in a (too healthy) dollop of farce regarding her pursuing fiance, and adventures both uproarious and terrifying, while stirring in some social commentary, and leaven with just a whole bunch of winsomely naughty fun, and, honestly, I just can’t wait for Katherine to be old enough to read this series.