We read for many reasons, not least of which is to just get the hell away from the world we inhabit. How far away? Check out Liz William's futuristic, demon-drenched Inspector Chen series, where the Singapore Three detective must pair up with a demon from Hell's police department. This series (The Snake Agent is first) is one of the best, most imaginative I've read in a long time. The imagery is fabulous and the plots fascinating.
In the same "neighborhood" - Bangkok - is the Detective Sonchai Jitpleecheep series by , which have a marvelous over-the-edge feel to them. The series starts with the edgy, violent Bangkok Nine. The devout Buddhist detective's mother runs a brothel, and his boss is so far on the take he's outa sight.
But let's stick closer to home.
How about Venice, Italy? Donna Leon instantly springs to mind, with her 17-and-counting police procedurals starring family man Isspetore Guido Brunetti. Leon, who lives in Venice, gives us a footsteps tour of some places. I feel I know the backside of the Questura better than my own back yard.
But there are other authors who've found La Serenisima too alluring to pass by: the late Michael Dibdin gave us Aurelio Zen (King Rat was the first, a marvelous Perugia-based introduction to the troubled Zen).
Look to Daniel Silva for a wide-ranging hero, Israeli art restorer Gabriel Allon: Italy, France, the Cornish coast, and Israel. The grimly realistic The Rembrandt Affair, which deals with Nazi art thefts and the collusion between the Nazis, the Swiss banks and the Vatican, makes chilling reading.

While we're on the Nazis, Charles McCarry's World War II novel Christopher's Ghosts, will chill you to the bone. Set in just-before-the-war Berlin, it chronicles the rise of the SS and the fate of many innocent people, and not only Jews.

Iain Pears gives us Flavia deStefano and her art thief boyfriend Jonathan Argyll (or whatever his name is at the moment). While based in Rome, they manage to get out of town in most books. Begin with The Raphael Affair, then devour the other six. Sadly, Pears has gone on to other things. What a bummer.

On the Iberian peninsula, Arturo Perez-Reverte's marvelous novels range from contemporary suspense to historical derring-do. Among the latter is the marvelous Captaini Alatriste series, set in the 16th century. First title (duh) Captain Alatriste; a new one (number six?) has just hit the libraries, too. Perez-Reverte's talents go to stand-alone books as well, including The Fencing Master, an elegant tale of a man slightly out of his preferred era; and  Queen of the South (making a Spanish drug queen sympathetic took some doing, but he did it well).

New to me, but an award-winning thriller author is Michael Robotham, an Australia-based former investigative journalist. The Wreckage (following the money trail from Baghdad to London) will keep you pinned to your couch until the very last page. And then you'll go out and look for more. 
More later...