I didn't see the HBO movie Cast a Deadly Spell up here (though I did see a mention of it and some of the more choice quotes from it in a fantasy dieselpunk thread here).
Even though I only have a crappy VHS of it, the movie is great IMO. The detail on the magic and clothing etc was great. The snappy comebacks are up there with some of the best from classic films. One of the things I most love is the nightclub that was evidently in an interdimensional space with only the entrance showing.
I know some don't like their genres mixed but its one of my favorite things. I've also enjoyed P.N. Elrod's Vampire Files (at least the first few) and they are sent in the 30s.