Pisca Neep Freemish:
Ever read any of the Mercy Thompson books by Patricia Briggs? Set in modern day. In fact, set only a few miles away from where I live in the Tri-Cities area of Washington State. The main character is a Coyote skinwalker. Werewolves, vampires, witches, the fey are all real. They've been in hiding for centuries, and have only recently, Come Out, so to speak.
Fun bubblegum sort of stuff. Easy reading.
That's an interesting question. How exactly do you define the horror genre? Especially cosmic horror? I'd argue just having vampires and werewolves isn't necessarily horror, depending on how its portrayed. I read a few of the Anita Blake novels and most of the Sookie Stackhouse novels. I don't think those are horror. More supernatural-tinged investigation/romance.
Cosmic horror especially is about the horror of humans confronting the greater unknown, which might explain why so little of it features other races. Because it could dull the impact of man confronting the unknown if elves, dwarves, etc all face it too. Though, from a scientific point of view, if humans and elves can interbreed to produce fertile offspring, they're not really different species per se, right? And dwarves aren't that much further away, because at least in some settings, human/dwarf hybrids are Muls, sterile like their namesake, but it implies a rather close connection between the two races. Gnomes, being of fey ancestry, could be different.