This is a great series. Definitely rated R, but quirky and fun.
Here's a general overview:
Way back in Ancient Greece, Pandora opened a box. All the demons of human nature (such as distrust, doubt, pain, death, secrets, lies, promiscuity, etc.) escaped. As punishment for opening the box Pandora and several other of Zeus' guards (known collectively as the Lords of the Underworld) were forced to carry the demons within them. The Lords are altered by their demons, gaining powers and weaknesses according to the demon they house. If the demon's needs are not appeased, the host and those around them suffer.
Each book tells the story of one Lord and some are better than others. While they technically stand alone, they should definitely be read in order, as there is an over-arching storyline that runs throughout.