I've used the LKH World in a campaign before and it went pretty well. I still have all my notes tucked away, and my next Modern Horror game will also be in the world she created.
For my group it was perfect because vampires are legal, everyone knows the supernatural exists (even if they do not know much about it). The 'supernatural creatures exist, but no one knows about it' had been done to death in previous games.
As far as I can tell, the fae books seem to be a different world, but with related themes.
Favorite character is Edward. Not because he's a stonecold bad ass with a trunk full of guns. but because he's the only real human in the whole series who can hold his own with the monsters.
Least favorite is Richard. At his best he had the interesting struggle between lycantrope instincts and the desire the retain humanity. Most of the time he's so pathetically annoying I want to take a baseball bat to him.
Best villain...hm. The voodoo queen working on making zombies that were more humanlike was good. As were the witches preying on lycantropes for their shifting spells.
Worst Villain...the bad guy from Blue Moon, though the baddies in Narcissus in chains had the same trouble. they got so squeezed out by the soap opera elements, they never got a chance to really build up as villains. Instead, bad things suddenly happen as LKH seemed to finally remember the bad guys need to do something bad before it's ok for the good guys to kill them.
Best element of the books. The world. It lends itself very well to RPG's and it feels like she's given some thought to how the world would be different if the supernatural was real. From the Chruch of the Vampires (Which can -really- offer eternal life) to the idea dragons are mythological only because they were hunted to extinction to how the laws change to deal with magic.
Worst thing about the novels. The loss of the 'human' side. Anita used to have a job, but it's basically disappeared without explanation in the last two novels. all her non-monster friends have been phased out except Edward. Her ties with the police have been nearly cut. All that's left is a fairly cool vampire and a pack of pathetically co-dependent shifters.