I really enjoyed the main character of Hammers on Bone, an eldritch entity possessing a human body to do typical noir detective work but ends up running in to other eldritch possessed humans who aren't as noble as he. Was sad to find out the other novella in the series wasn't the same. Now I need to scratch that itch of supernatural detective deals with supernatural. Off the top of my head the only thing I can think of is the Hellboy series.
by splash_dude