This is the first of the "Blood Books" by Tanya Huff.
I found out about this series in a slightly roundabout way. I've been watching Moonlight on CBS and in the forums for it on TWoP someone mentioned Blood Ties which is airing on Lifetime, and that that series is based on a book series. So of course I ended up at Borders since I like to read something before I watch it. (Over the weekend I watched most of the episodes of it that have aired so far and it's quite good)
So we have a former cop that is now a PI (she has retinitis pigmentosa and couldn't continue as a cop), her former partner/lover, and the illegitimate son of Henry VIII (who is a vampire). The story itself involves demons.
I think I finished this in all of about two days. Yes, I'm predisposed to like the mortal/immortal dynamic, but it's a really good story and well written and it was one of those books that I couldn't put down.
What I find absolutely fascinating about the book is that Henry (the vampire) is Catholic, he has a soul, he prays. It's pretty common to have books about supernatural stuff that just has evil vs. humans. And "good" vampires are only good because they deny their vampy ways. But this one is different. Yes, he's a vampire and he enjoys what he is, but he isn't evil.
slightly spoilery bit is next, quit reading now if you don't want to know...
There's a part where the demon is starting to come through and Henry prays and the demon is pushed back. There's an acknowledgment of the supernatural that is good. And that the good is just as powerful as the bad. It's just not something that's seen very often in the genre and I'm loving it.