I've done it before with D20 Modern and it worked fairly well. Currently, that is my default system for these types of games. The one thing that I bugged me from time to time was the fact that characters (after 4th level or so) can dodge bullets so easily (as in, a tough hero has a lot of hit points). You just need to make sure you use the massive damage thresholds and possibly tweak them a bit.
I'm thinking of starting another campaign in the next few weeks. If I do it with D20 Modern again, I may add in some of the Star Wars Saga Edition Changes. (Simplified skill lists, damage threshold, condition track etc.) or I may just use the rules as written. I don't own D20 Dark Matter, but have been checking it out for a while and am very tempted. I do have
Blood and Relics and really like some of the ideas in there. Definitely worth a look, and totally worth the price of the PDF.
I've considered using nWoD. It's tailor made for the genre, and at least one of my players really likes the system. The thing I don't like is that you really need to buy lots of books to have access to lots of different supernatural adversaries. If you want to include vampires, mages, or werewolves, you really need the books for them. Whereas a game like D20 Modern has the basics for creating these types of monsters right in the core book. On the plus side, nWoD doesn't have the crazy level power creep that D20 has, and you don't have the rising hit point phenomenon. There are a lot of awesome sourcebooks out there with cool ideas (like antagonists, second sight, skinchangers and setting books like WoD Chicago).
Lastly, I was giving serious consideration to Savage Worlds. Of all the games, this one is the easiest to pick up and learn, and plays smoothly. Action tends toward the cinematic right from the get go. Characters are more customizable than in D20 Modern. It's a lot easier to whip up various opponents (an unlike WoD, you really only need one book to do it). There really isn't much along the way of supplements for modern/urban horror, and so you would have to draw everything up from scratch. Fortunately, of all the systems, this is the easiest to create monsters and NPCs with, but still, it's nice to have all that already done for you.
Right now, I'm leaning toward D20 modern again, but considering buying into nWoD (whenever I start browsing through those books my imagination just runs wild, there really is a lot of neat stuff there), and I'm always drawn by the simplicity and ease of use of Savage Worlds...
Good luck with your game - let us know what you decide and how it's working!
Cheers,
Jeff