In Christianity/Judaism, while the angels were the subjects of God, one in particular thought he could do better. Lucifer, once an angel, engaged in a battle with the other angels, a rebellion to overthrow God and take command. Instead, he was defeated. He and his subjects were banished to the underworld, to Hell.
Fallen angels take many forms, depending on the religion they are from. Demons, succubi, incubi, and many more are considered angels who have fallen from favor.
Because sin is exciting, these beings often make good fodder for paranormal romances. Do any of your favorites feature fallen angels?