The Devil You Know by Mike Carey (Felix Castor, #1)
If you like your Urban Fantasy far more on the Urban Noir side than the Fantasy, a less than clear black/white dichotomy in your moralities, and some really sparkling writing, then you totally won't go wrong with this one. Putting book 2 immediately on my queue at the library.
My (lazy!) review of this consists of: Go read Bookaneer's review. Because it says everything I would say about this book.
Also, it's really really good.