Private Demon picks up virtually where If Angels Burn ended, with Thierry Durand on the run from the other Darkyn. He has come to Chicago to pursue Luisa's attackers and it is here that he meets Jema Shaw - an heiress who doesn't yet know the part she will play in the Darkyn world. Unbeknownst to Thierry, Valentin Jaus (the suzerain of Chicago) is also interested in Jema's welfare.
I found Jema to be a fragile heroine, she has an underlying strength, but she is more passive than Alex (the heroine from the first book). Without Jema or them being aware of it, the two male Darkyn - Thierry and Valentin - are competing for her. The relationship between Valentin and Jema is sweet and you can understand why so many readers are on his side. As Alex notes on p157 'Valentin has a way of making you fall in love with him'. Jema's interactions with Thierry on the other hand are brutal, vivid and intense. One subject this book deals with (beautifully) is how we don't always get to choose who we love or whether they will love us back.
Unlike some series The Darkyn really needs to be read in order, so I would recommend you read If Angels Burn first. Several plot threads from the first book are picked up in Private Demon - the attack on Luisa, Michael and Alex's relationship (one of the major subplots through the series) and John Keller's quest for meaning. There are also new storylines started here, it's very much a multi-layered series and as such the paranormal romance tag is a bit misleading. This is more of a complex urban fantasy tale, focusing on the relationships between the various characters and their struggle for survival against not only their enemies, but also their own natures.
Book 1 - If Angels Burn
Book 3 - Dark Need
Book 4 - Night Lost
Coming in January 2008 Book 5 Evermore