First, Monster of the Week relevant works. I seem to have been on a bit of a monster hunting reading binge recently.
I absolutely love Harry Connolly's Twenty Palaces series (Child of Fire, Game of Cages, Circle of Enemies). I really like the guy telling the story, a chap called Ray Lilly. [Astoundingly mild spoiler] He got involved in some nasty magical events and was recruited by the Twenty Palace Society, a group of sorcerers dedicated to killing all the other sorcerers who endanger the world. It's a pretty grim series, as Ray was a semi-professional criminal before all the magic and stuff. That and the fact that magic can be used for some very scary purposes. The action and mystery side reads a bit like Raymond Chandler or James Ellroy, and the spells and magical creatures are terrible and awesome. Recommended if you like the sound of the Dresden Files, but with all the cute stuff removed.
Also good are Mike Carey's Felix Castor books. These follow a London exorcist in a world where the dead have come back - ghosts, zombies and werewolves are all becoming more common. As a detective, he's as hard-boiled as Ray Lilly. The stories are generally a mystery centered around a ghost problem, although usually not in a straightforward way. As the series has gone on, it has also built on what's gone before (both in the novels and in Castor's backstory) to add more depth to the world. There's a very detailed sense of Castor's London as well - it feels like Carey might have paced out the places that chases happen, that sort of thing. The mysteries are pretty grim here too. Recommended for the same reason as Connolly's books, above.
Larry Correia's Monster Hunter International is another good one. Not as good as the other two, but good. It's in much more standard techno-thriller mode, with lots of guns and violence and a thread of libertarian "anything to do with government is bad, anything to do with private enterprise is good" in there. But the basic monster hunting ass-kicking action is great. I haven't read the other two books in the series yet, but plan to get to them soon.
In another direction completely, Harry Sidebottom has a good historical adventure series set in Roman times. They follow what the afterwords explain is a historical character - a Roman general originally an Angles from past the German frontier. It seems like the historical record is just a few mentions for the guy so there's plenty of room to add adventures, and Sidebottom has done a great job doing so. He also manages to fit in a lot of historical details as the story goes on. Recommended for anyone who likes reading Roman historical adventures.