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I'm not sure if it'd be what you'd want to read or not, but my hands down favorite series is the In Death books by J.D. Robb (pseudonym for Nora Roberts). It's a continuing series, with twenty or so books now and a new one coming out in November, I believe. First book is Naked In Death.
Slightly futuristic (set in the late 2050's and now in early 2060's), romantic suspense/mystery/police procederal and character driven. Main character is Lt. Eve Dallas, who is a cop and each book is a different case, but they're not pure mysteries, but not pure romance either. Can get pretty graphic at times.
And it's where my user name comes from.

Actually, I'd suggest any of Nora Roberts books and a lot of them end up with supernatural elements in them, along with a heavy dose of romantic suspense.

Another good author is Jim Butcher; either his Dresden Files books or the Codex of Alera series. Dresden is a Wizard P.I. living in modern day Chicago, first book is Storm Front.
The Alera ones are more fantasy, mainly following a boy/young man named Tavi, first book is Furies of Calderon.

I also like Kim Harrison's The Hollows series, starting with Dead Witch Walking. Taken from the Wiki page for it: known for her Rachel Morgan urban fantasy series set in an alternate history where a worldwide pandemic caused by genetically modified tomatoesled to the death of a large portion of the world's human population. At that point, the hidden "Inderlanders," creatures such as witches, werewolves, vampires, and more, came forward and revealed their existence to the world.