I'd recommend a number of books by Tim Powers. Particularly, see if you can find Expiration Date, Declare, and The Anubis Gates. Interesting paranormal stuff there. Exiration Date is about ghosts in LA, Declare is a spy novel about the use of Djinn during the second world war, and the Anubis Gates is, uh, hard to explain. Time travel and Egyptians.
The Stress of Her Regard is a good one too - it's an interesting take on Vampires - as is On Stranger Tides. It's about pirates and magic. They're both by Powers as well.
Of Tangible Ghosts by L. E. Modesitt Jr.
is good. Really strange take on ghosts and it's set in an alternate United States where Dutch decendants formed the country, not British. Amazon has
excerpt pages if anybody wants to check it out.
And if you haven't read Good Omens, by Neil Gaiman and Terry Pratchett, don't wait.
Those are the ones I can think of off the top of my head.