I'm a little late to the party but here's my 2 cents for setting.
Go with something like Bureau 13 / Bureau for Paranormal Research and Defense / Section 9 (Jackie Chan Adventures), etc. Then you can toss in all sorts of bizarre stuff and not be wrong like the Hellboy movie suggested that Area 51 was actually in New Jersey. Jackie Chan Adventures especially had pretty much everything but the kitchen sink - ninjas, demons, vampires, the Monkey King, demon ninjas, time travel, Luchadors, sci fi, spy stuff, chi wizards, etc.
Naturally there has to be at least 1 bad guy group conspiring against the good guys (mentioned above). But also have some neutral parties like a version of the Knights Templar defending the Grail and other religious artifacts, not necessarily Judeo-Christian even, or any number of conspiracy groups that believe the world will end on December 21, 2012 (Mayan Calender), either working to prevent it or bring it sooner. For something less fantastic, there are others that want to bring about the New World Order or plain want to rule the world like a James Bond villain or heck, Dr. Drakken or even Duff "World's Deadliest Golfer" Killigan. Ok, maybe not him.
Great. I just muddied the water. Shoot for something middle of the road with options to tweak it into something lighthearted like Jackie Chan Adventures or grimmer like Millenium / X-Files. Ok, I suppose Dark*Matter could be modified.