From the series The Iron Seas:
The Iron Duke, by Meljean Brook; copyright 2010 by Melissa Kahn; ISBN 978-0-425-23667-3.
Heart of Steel, by Meljean Brook; copyright 2011 by Melissa Kahn; ISB 978-0-425-24330-5.
From the front cover: «“Meljean Brook has brilliantly defined he new genre of steampunk romance.” — Jayne Ann Krentz, New York Times bestselling author».
These are very good. The back covers list them as “paranormal romance” 1, but I suspect that they form exemplars for a new genre.
Her setting is interestingly and greatly altered history.
Stories by Meljean Brook appear in (at least) the following anthologies: Hot Spell, Wild Thing, First Blood, Must Love Hellhounds, Burning Up, and Angels of Darkness.
The local library I frequent most often has a separate section for paranormal romance now, though these were shelved in general fiction.