I've just discovered Steve Hamilton, a Michigan native, and his Alex McKnight series set in the UP near the Soo. 

McKnight is a former Detroit cop, shot on duty, and relocated to Paradise, MI and working as a PI. 

Am listening to "A Cold Day in Paradise" on CD and really enjoying it.  It is the first of 7 or 8 books, many of which are available here on PBS.

Love Steve Hamilton and his Alex McKnight series! Although Hamilton has released two stand-alones since A Stolen Season, the last McKnight book (published in 2006),  I am optimistic that Hamilton will return to this series to enable us to enjoy more of McKnight's adventures.

Although I abhor snow, reading the McKnight series sparked my interest in reading other mysteries/thrillers set in the northern part of the United States:

• David Housewright's Rushmore McKenzie series (set in St. Paul, MN)
• William Kent Krueger's Cork O'Connor series (set in Aurora, MN)
• Brian Freeman's Jonathan Stride series (set in Duluth, MN)

Yes, DH has read them all.  I have them here to read but haven't yet.  He said it was neat when they referred to places he's been snowmobiling at.

If you're looking for books set in notable Michigan, Susan Holtzer writes a mystery series based in Ann Arbor that's pretty entertaining.  The series starts with Something to Kill for.

Hurrah! The newest in the Alex McKnight series, Misery Bay, will be released June 7, 2011.