The Secret Books of Venus by Tanith Lee
All four books are set in Paradys, an imaginary city based on real life Paris, France. The Book of the Dead has vampires and cross-dressing. The Book of the Beast is my favorite (and if you only read one book in this series, you’ll want to read this one). This book follows demon possession in an old family of Paradys. The demon is awakened in a victim when they have sex for the first time and the demon can be passed to a new victim via sex. Our protagonist happens upon this curse by accident and… gets possessed! Can he be saved? Or will he die passing the demon on to a new victim? The Book of the Dead is a collection of tragic short stories. This one tends to be most readers least favorite and I think that’s because not everyone prefers short stories in general and not all short stories are created equal. I enjoyed a good portion of them but I have to agree that this is my least favorite in the series. The Book of the Mad is kind of hard to summarize. There are two dimensions of Paradys connected by a maze of ice. One dimension is deliberately crazy and the other dimension has crazy people but it isn’t really socially acceptable. At the center is this mysterious uncle who built the ice maze.
This series has some fantastical elements but it is mostly in the gothic horror genre. I recommend this series if you like (or are just in the mood for) the darker, lyrical side of character driven literature.