Same as almost every religion has angel lore, so too do they have demon lore. Demons are the embodiment of sin and evil, something to be feared and avoided. Christianity/Judaism has Lucifer's minions, Zoroastrianism has Ahriman's demons -- even Hindu has the Asuras, the demons who continually try to wrest the booze of immortality from the gods.
Demons symbolize the ever-present something that needs to be fought against, but they also are the perfect "tortured soul" archetypes. If your hero or heroine needs a challenge, converting a demon to the side of good might just be the things. I know demons have featured in more than one of my works in progress.
-Deliriums Realm - a must-see when researching demons
Paranormal romances featuring demons include:
Dark Desires After Dusk
Kiss of a Demon King
Demon From the Dark
The Demon You Know
What are some of your favorite paranormal romances featuring demons?