In the last decade or so, it has become a staple of both science fiction/fantasy writing and horror sections of many bookstores: the urban horror/fantasy novel. Characters like Anita Blake, Harry Dresden, Mercy Thompson, and many more have become common in the shelves of bookstores. With it has come a resurgence of urban horror gaming, and White Wolf has long been the king of that particular niche.
White Wolf started the old World of Darkness back in 1991 when it released Vampire: The Masquerade, where players took the roles of vampires hiding from human society and carrying on their own culture, (un)lives, and conflicts away from mortal eyes. It was hugely popular, and several more games in the World of Darkness were released; Werewolf: the Apocalypse, Make: The Ascension, Changeling: The Dreaming, and Wraith: The Oblivion, among others. In each, you played a member of the titular group, hiding from humanity and trying to accomplsih your goals without ever revealign yourself to a world like ours, but much darker. In time, the games interacted with each other, with consequences both cool and disastrous, and eventually, in 2004, they came to an end with a huge, climactic finish.
That same year, the World of Darkness was reborn, darker than before. It started with the World of Darkness core book, which allowed you to play a normal human with some vague inkling of the horrible things going on, trying to survive in a world of supernatural creatures and terrible things. Then came Vampire: The Requiem, Werewolf: The Forsaken, Mage: The Awakening, Changeling: The Lost, Hunter: The Vigil, and most recently, Geist: The Sin-Eaters. As before, you play a member of the titular group, but this time, the creatures are less organized, their opponents worse, and overall, the horror theme has become more important for every game. It is an interesting exercise finding out what a werewolf is afraid of.
I've been a fan of the World of Darkness games for a long time, though Vampire has never been a favorite; I leaned more towards the visceral nature of Werewolf. I have run several successful games in the World of Darkness, and I am starting to do that again, albeit with fewer players this time. So I thought I'd share a few of my favorite resources for a game of urban horror.
Wikipedia: Wikipedia, the online encyclopedia, is a great source of information. If you want to check the population or big businesses of a city, or look up an obscure entry on a historical figure, here is always a good place to start. Be warned, though; the entries can be altered by almost anyone, and while the Wikipedia people make efforts to try and keep things correct, they can't fix everything.
Fortean Times: A magazine published and devoted to events referred to as Fortean, this publication tracks down and finds all sorts of weird and interesting events, which are great to use as fodder for urban horror games.
Weird Science: No, not the old TV show or movie; this is a site devoted to discussing odd happenings in science, and has some really great information and links. I don't understand a lot of it, but it still makes for interesting material.
TV: TV has some great shows that are goldmines for urban horror games, though some are likely more useful than others. For an investigation game, you can try the X-Files or the more recent Fringe; for a Vampire game, think about looking up the Vampire Diaries or True Blood. A light-hearted take on Wraith? Try Dead Like Me. There was even a short-lived Dresden Files TV series from the Sci-Fi Channel.
Books: Obviously, there are plenty of these. Go look in a bookstore like Borders and you will find numerous urban fantasy/horror series; the Dresden Files by Jim Butcher, the early Anita Blake books by Laurell K. Hamilton, the Felix Castor books by Mike Carey, the Weather Warden series by Rachel Caine, and any number of others. They vary in quality and in amount of fantastical elements they bring to the picture, but they are porbably one of the best places to mine for good material - and some of them are just damn good books, period.
Want more information? Feel free to ask.