You're on the right track with it being vampires, werewolves, and other supernatural-type creatures.  Until recently they probably would have been lumped with Fantasy (My collection of Tanya Huff paranormals are listed as "DAW Fantasy")  Some paranormals tend toward romance, I suppose, but not most of the ones I have read. 

Almost all of the books I read are Paranormal Romance. I slipped into this type of book because I perfer to read total fiction...crap that can't possibly happen in real life. There's enough of that IN real life. Some authors I avoid that don't have happy endings or too much sex--I skip over those parts, if there's a lot it's a waste of money. Vampires are my favorite, but werewolves are great too. Charlaine Harris has both in her Sookie Stackhouse books, and I love them. A few favorites of mine: Ward--Black Dagger Brotherhood   Kenyon--Dark Hunter   Feehan--Carpathian and Drake Sisters    Shayne--Vampire (Wings of the night, I think)    Those are all series and there are more. Some are light reading, some are not, so I jump back and forth. There are quite a few authors that are famous for their paranormal, but I didn't like them, so everyone is different. To try out any new books or series, try to get them free on this site. If you get trapped like I did, you won't be able to wait on the wish list.

Paranormal is sometimes also called Urban Fanatsy.   It covers from light hearted romances to rather dark, almost horror.  It used to be a subset of romance and a subset of SF/F.  But we blurred the lines so much between romance and fantasy that we formed a new cluster.  And it covers much more than just werewolves and vampires.  We have ghosts, goddesses, demons, aliens, dragons, and angels.  We have stories that end happily ever after like standard romances and stories that end in cliff hangers.  We have mysteries, historicals, and erotica. 

I fell into this genre around the end of last year...now I have a hard time finding room to read any other genre of book!  I've always loved vamps and werewolves and anything paranormal.  So since I've found this genre, I've personally had a hard time putting it down.  I'm personally reading over 5 series at a time right now.  I hate to read a series back to back. 

Some of the series that I'm reading are...

• Katie MacAlister's 'Aisling Grey, Guardian Series' -  this is a comedy type with dragon shifters, seers, guardians of the underworld, demons, imps, and just about every other magical creature you can think of.  It's also hilarious.  I'm on the 4th book in this series, and am a little sad that Aisling's world for me will come to an end.
• J.R. Ward's 'Black Dagger Brotherhood' - Vampire series with a lot of action and hot steamy sex scenes.  I tell my fiance all the time he needs to turn himself into a vamp somehow, lol.  It's a great series, and I'll be starting the 5th book as soon as I get it.
• Laurell K. Hamilton's ' Anita Blake, Vampire Hunter' -  So far, I've only read the first 2 books, and they were great.  The second was a lot better than the first.  No romance so far, just all out action and gore.  I still like it though.  I've heard that they steer towards the erotic side down past book 9, but well, I'm not there yet so I'm enjoying what I have :)
• Keri Arthur's 'Riley Jenson, Guardian Novels' -  Half Vamp/Half vampire twins that fight evil.  Mostly about the female twin, Riley, but the brother is thrown in there a little bit.  Lots of sex scenes, but oh so juicy.  Lots of action and staking, if ya know what I mean! (duh, vamp killings...silly)
• Jeaniene Frost's 'Night Huntress' - Yet another half Vampire, yet she's half human too.  Out to get vengeance against the vamp that raped her mother...who is also her father.  She meets up with a sexy vamp and falls in love..but she still on the hunt.  Great series, first series I got into and can't wait till the 3rd and 4th books come out!
• Rachel Vincent's 'Werecat Series' - Simply what it says...werecats.  Not your typical housecat though.  They are the size of a black panther, and well...they really are just that, black panthers, lol.  Lots of action and lots of romance, another personal favorite.  The 3rd book is due to come out pretty soon.

Okay...lol..those are just a few.  I have a few more that I'm currently devouring as I get the next books in the series.  Hope this helps a bit though, gives you a taste of the different types of books you can jump into.  Hope you like the genre!

Jenni

Paranormal Romance is my favorite.....I love the first two Christine Feehan Dark books.  I really need to get busy reading the next one. They were just so good I like to savor them. Lynn Viehl has a paranormal romance series, which isn't heavy on the romance and has some really scary villians, they are good books. Kresley Cole is another series I am in the middle of....its kind of wierd because it has so many different types of paranormal creatures in it. Susan Krinard has a werewolf series that I am meaning to start. And Susan Squires has the companion series which I know I will enjoy immensley! A lot of these authors have published short stories in various books, which can be a good introduction to the world they have created. There are so many good series.  And if you want something tamer try Amanda Ashley's vampire romances, straight up romance whose heroes happen to be vampires.  I love her books and keep them all!

Anne