Wow, you guys are quiet this week. Everyone must be over at the EP Flash contest. But I wanted to put in a good word for Tim Power's Fault Line series.
Tim does magic with consistent rules better than anyone. He sets up how it works, then plays within it's bounds - and then brings in odd bits of history and shows how they could be interpreted in light of the fantasy element. This series takes place in the modern day up and down the West Coast, involving ghosts and people who want to eat them, the last breath of Thomas Edison captured in a jar, the hands from Houdini's tombstone, the Fisher King in Las Vegas, and Dionysus in the California wine country.
These are pretty dense books, even for Powers. It just isn't light reading, so be warned. Also, the first and second books are more or less stand alone, with different sets of characters. The third book combines both sets of characters and plot threads from the previous novels, so there is a lot going on there. Don't go in expecting the traditional trilogy format.
But if you want to try some urban fantasy that's unique and smart, give it a try. If you want your urban fantasy to have vampires or elves, look elsewhere.