October Daye is really good - it's one of only 4 sets of unfinished series I'm bothering with. The others are Dresden Files, Mercy Thompson and the almost finished Wars of Light and Shadow (which is a different kettle of fish as it's an Epic Fantasy and not Urban Fantasy).
You might like to try novels by Janny Wurts too - the stuff she wrote by herself, not with Raymond E. Feist. I suggest starting with the standalone novels or the trilogy or even her book of short stories. The Wars of Light and Shadow are rather long and really need to be read one after the other because little things in the beginning are important for things that happen further on.
Have you tried anythig by Seanan McGuire? Indexing or the October Daye series?