Fairies, often called the Fae, Faeries, etc. are separated into two types of lore. One states that they are tiny winged creatures, no bigger than butterflies and with butterfly wings, but with humanoid bodies. Another type of lore, in which their size is comparable to that of humans, is the Sidhe.
Pronounced SHEE, these beings were said to live in another world, parallel to Earth, which could be reached through gateways found in the Irish hills. Queen Mab (of the Seelie court, vs the Unseelie court) was considered the queen of the Sidhe, and Puck is a prominent figure in myths -- said to be a mischievous sidhe. The Sidhe were said to come out during the solstices (especially the summer solstice) and lure humans to come with them and become their slaves.
Another popular form of fairies are the Tuatha De Danann. These are winged beings, considered to be the inhabitants of Ireland before the first humans settled there. More information is cited in the links below.
Although the Banshee is technically a type of fairy, I will be speaking of that lore separately.
-The Monstropedia page
-British Goblins: Welsh Folk-lore, Fairy Mythology, Legends and Traditions by Wirt Sikes
My favourite paranormal romances featuring fairies are:
Cheyenne McCray Magic series
Seduced by Magic
Breath of Magic (in No Rest For the Witches)
She's No Faerie Princess
Prince Charming Doesn't Live Here (forthcoming)
What are your favourite books featuring fairies?