It would be really fun to read a book which took the best elements of detective novels and mixes them with fantasy. A Bill Pronzini meets David Eddings kind of thing. Any ideas? The Dresden files are close but not quite there close in the earlier part of the series.  

Tad Williams, Bobby Dollar series, the first book is the Dirty Streets of Heaven.  The Dresden files is my favorite series so this one was not quite as good to Me, but it was still good.

Mike

How about the series from Glenn Cook. Garrett, P.I.

I believe that blends some detective work into the fantasy setting.

Randall Garrett's Lord Darcy stories are pretty good fantasy-detective ones.  The protagonist is a non-mage using logic and deductive reasoning to solve crimes of a magical nature with the help of his mage assistant.  The books are rather hard to come by, but well worth it if you can find them.

http://en.wikipedia.org/wiki/Randall_Garrett#Lord_Darcy_series

P. N. Elrod does a vampire/detective series,

A good introduction to the weird/horror detectives is Arkham Houses Dark Detectives: The Supernatural Sleuths.  Among my favorites are William Hope Hodgson's Carnacki (collected in Carnacki The Ghost Finder) and Manly Wade Wellman's John Thunstone (collected in The Complete John Thunstone)

Oh, and of course the Lord Darcy stories already mentioned are, IMO, very good.

Simon R. Green - Nightside series.

-RD

I agree the Lord Darcy series is great!  Have you considered Daniel Polansky's Low Town series?

Mike Carey's "Felix Castor" books, beginning with The Devil You Know.