Urban fantasy Night Watch series by Sergei Lukyanenko:
Night Watch (1998)
Day Watch (2000)
Twilight Watch (2004)
Last Watch (2006)
New Watch (2013)
Sixth Watch (2014)
I'm finishing Last Watch at the moment. If you're fan of Neil Gaiman then give it a go. Urban fantasy at its best. It's dark, gritty, humorous and epic.