I recently picked up a copy of the anthology Must Love Hellhounds. It's a good collection, but I bought it for "Magic Mourns" and that's the story I read first and like best.
Although set in the Kate Daniels' universe, it is told by Andrea. This lets us see Kate through someone else's eyes, but Kate is on the periphery here. The focus is Andrea, her past and her future, particularly her relationship with Raphael. She is vulnerable and she is a survivor--much like Kate--and with a very similar voice, only we're allowed to see more of her vulnerability and backstory than we are with Kate.
The novella does a good job of deepening our sense of Kate's world without actually imparting secrets you need to read to understand the next Kate novel, Magic Bleeds, coming in May 2010. But if you're addicted to this dark world of magic and tech, where compassion has a price, you'll want to read "Magic Mourns".
One final point occurred to me as I thought about this review. The Kate universe is violent. If I saw this stuff in a movie I'd be closing my eyes and whimpering, but I read it eagerly. Maybe my imagination is not as vivid as I think it is?