Some suggestions:
The Dresden Files series -
deals with all kinds of supernatural coolness.

A little more believable stories than the X-files too.
Tad Williams' "Otherland" series -
Not supernatural, but VERY good fantasy/sci-fi series. Virtual reality universe that gets utilized by greedy men to provide them with immortality at the price of others. Just be prepared for a long read. Each book is around 1000 pages or more. Worth it, though.
Anne Rice -
All her vampire books are MUCH better than the Twilight series, although I understand that the Twilight series is geared more towards teenagers (and there are a lot of you on here!) Rice's stories tend to be much less linear, and involve more character development and intrigue.
I have to ask if you have read any of Stephen King. He has always been one of my very favorite authors, and he manages to master the art of imagery without using 20 pages to describe what a tree looks like (the way Tolkien does). He doesn't just write horror. He has some fantasy/supernatural books as well. Check them out if you haven't already.
My favorite book of all time is "The Last Unicorn" by Peter S Beagle. It's a bit simplistic, but in my opinion it is my favorite story hands down. One of the most bittersweet love stories, and a good read too.
- The Felinist