The Underworld movies work well in this sense. I've RP'ed in a similar setting long before the movies came our. We also had gargoyles and a succubus.

I think these work well because the supernatural are extentions of the earth-based natural order of things. I find aliens of all sorts, whether ET's or BEM's unlikely to be interested in humans for the purpose of procreation or pleasure... and therefore don't tend to find anything to fantasize about with aliens.

Robots, androids, and cyborgs... of course, are merely overgrown sex toys and I can get jiggy with that. LOL