Urban fantasy is a hot genre. I like to write it myself. It differs from contemporary fantasy in that the city takes on a life of its own, and is integral to the characters.
When Anita Blake goes to Branson or Las Vegas, it feels different than when she's working at home in St. Louis. Other examples are Harry Dresden's Chicago and the New York of Diane Duane's Young Wizard series. I'm sure you can name more
But I'm noticing to many UF novels feel similar, right down to the leather-jacketed heroine with the crossbow pistol and tramp stamp tattoo.
So here are things i'd like to see in Urban Fantasy.
1) Cities that look like their demographics. If you're writing Memphis, at least half the people in the city are black, and a significant percentage are Hispanic. There aren't many Japanese people, but we have a large Vietnamese population. Nashville has a large Kurdish population, while Kansas City has the second largest Sudanese and Somali populations in the US, but the River Market area is historically Italian.
I had a first reader comment "your Memphis is very white in these opening chapters." I reminded her that there were only 4 characters so far, and three were all related (a father and 2 of his kids) while the fourth was a Puritan from Massachusetts Bay Colony. The cast diversified after we got out of the house.
2) Paranormal creatures that fit the demographics. Here in Memphis, we have 10,000 Asian people. But because we have 9000 Vietnamese and only a few hundred Japanese, we would be far more likely to have a Ma cà rồng (Vietnamese vampires) than a kitsune. We have enough of a Celtic population to support a Fae presence, and it's admixed with Native American, which would blend the two traditions. We have a strong Voodoo tradition from the gulf coast.
3) Vampires who reflect the era of their turning. To paraphrase Armand in The Vampire Lestat, "We are deeply in love with our time and wish to hold onto it forever. That is why we became vampires." And to quote Parke Godwin: "Personalities whom death had rendered more permanent than improved."
I write a vampire Elvis who still dresses like it's 1976, gives evening concerts and generally lives as if he's still the King. I have a 1950s juvenile delinquent who wants revenge on his school tormentors (he turned about 19), and somehow, seeing the worst of them growing old and feeble is the best part.
Don't be afraid of antiquated slang for immortal characters. An undead flapper might let out with a "va-va-voom." Your vampire prospector might still use "tarnation." The revenant colonial will use "zounds!" (which means Gods Wounds and is fairly strong.)
4) New and exciting supernatural beings. Every city is going to come with vampires and werewolves and demons. What makes your city different and unusual? Is there a Popobawa stalking the rent-boys? Maybe a Valraven eating children's hearts to become human again. Or maybe you just have the local legend creature making trouble.
5) Better Magic. Make the magic believable, Make it taxing. Think the system through. And ask why people with this much power don't rule the world. Is it ethics? Is it population? Or maybe they do, but keep it quiet.