I first got into the urban fantasy/paranormal mystery stuff with Kim Harrison's debut, Dead Witch Walking. I love this series because it's so quirky and funny at times. It takes place in the near future after a virus carried by genetically altered tomatoes wipes out a good portion of the human population. After this, the creepy crawlies that have been hidden amongst us come out of the closet. Rachel Morgan works for the supernatural counterpart to the feds and gets fed up with her job. She walks out and opens her own sort of bounty hunting/PI agency with a vamp and a pixie. Her former bosses are none to pleased that she took one of their best agents with her, though, and put a bounty on her head as a result. There are six books to the series now, with seven due out in Feb.
Course you can't talk about urban fantasy without talking about Laurell K. Hamilton. I have not read her series. I did read the very first book, back when they had the original covers (loved 'em and miss 'em). They have since been repackaged and I believe that as of book 4 or 5 she begins to delve more into the erotic than I prefer. Anyway, Anita Blake (vamps and weres) begins with Guilty Pleasures and is up to book 13 or 14 by now. Merry Gentry (fairies) begins with Kiss of Shadows and is 7 books so far.
Jim Butcher's Dresden Files are another favorite amongst readers of the genre. You may recall the brief Sci-Fi series that followed this series about a mage (sad to see it go). I've only read book one, but they are kind of the male equivalent to Kim Harrison's Hollows books (Jim's series did start before Kim's was published). Book one is Storm Front in which Harry Dresden is called in to assist in a murder investigation that seems to show evidence of black magic. There are now eleven books in this series.
Others that have been around a while (but sadly I have not yet read) include Tanya Huff who's Blood Books have spawned the Blood Ties series, Kelly Armstrong's Women of the Underworld (debuted 2004), and Charlain Harris' Southern Vampire series debuted in 2001 (Dead Until Dark has been reprinted with the True Blood cover).