My guilty pleasure is Laurell K. Hamilton's Anita Blake series. Hamilton creates a vividly detailed world where vampires and werewolves live, work and play among humankind (although not without some friction). She does a great job in describing the complex hierarchies that exist in the vampire and were-animal societies. The monsters are truly scary, and even the "good" vampires and were-creatures are capable of monstrous acts. The early books in the series were a mix of detective and horror fiction, with a healthy dollop of eroticism. The later books have tended to emphasize sex, sometimes at the expense of story (but that's just my opinion).
One problem with the series is that it tends to get a bit monotonous. The characters all have emotional hangups and never seem to get past them, so the same issues keep cropping up in book after book. Still, the books are like potato chips to me -- I can't resist them!