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Sandman Slim by Richard Kadrey is one of my favorite book series of all time. It's a comfort read for me and I've reread the whole series several times. I tend to prefer the audiobook, whose narrator, MacLeod Andrews, is fantastic.
Sandman Slim is a series about Stark, a magician who spent 11 years alive in Hell, and the things he has to do to save the world and keep his friends alive. The earth portions are set in LA, a city I've never been to but which sounds fascinating.
I think the thing I'm most invested in is Stark's journey of growth over the course of the books. I don't like him in book 1. He starts out as a selfish asshole, going after what he wants at the expense of his friends' respect. By the end of the series, we see him nobly sacrifice himself for the good of the whole city (if not the world). He deals with PTSD from his years spent in Hell, and the books show how difficult it is for him to navigate, from rejecting the very notion to finally accepting medical intervention. Stark is a figure who changes drastically yet somehow always feels like himself.
The side characters are also great. Stark's main love interest Candy is a ferocious mess of a woman with her own set of issues, not being human among them. Later, Stark's nonbinary partner Janet is a different array of problems for him to navigate - and, often, fuck up. My favorite character is definitely Carlos, a bartender who runs a punk tiki bar that Stark frequents. Despite being a "side character", Carlos eventually gets his hands dirty helping Stark with all the messes he gets into.