This is technically urban fantasy because the guy doesn't get the girl at the end, but the entire story is about him trying to get the girl, so I'm calling it paranormal romance. And besides, he's a demon, so it's actually good that he doesn't get her.
This is Daunuan's story. (Don Juan, the infamous incubbus) He was a sometimes fun, sometimes annoying, and sometimes dangerous former "friend" of Jezabel in the first two books, but this one is entirely his. Oddly, it's better than the first two in the series. Maybe because he is often an ass (though a funny one). Daun's received an unwanted promotion to Prince of Lust, but he's got to prove himself first by turning a specific heaven-bound soul to hell, and at the same time, dodge a bunch of high-level demons who have it out for him. Along the way, he realizes he can feel love. I love the way this story circles around and ties back into the first two books at the end.