The list author says: "William Kent Krueger uses Aurora, Minn. as the backdrop for his series featuring Cork O'Connor. A well written and enjoyable series that is up to ten books so far (as of Sept. 2010). I recommend starting out with the first book, Iron Lake, as each book builds a bit off the last one, as series books tend to do. Currently, all but the last 3 in the series are available as mass-market paperback (and at Amazon's 4 for 3 deal). WKK also wrote "The Devil's Bed", first published in 2003, a stand alone novel that is not part of this series.
Other mystery series that you might enjoy:
The Alex McKnight series by Steve Hamilton (takes place in upper Michigan - first book is A Cold day In Paradise)
The Joe Pickett series by C.J. Box (takes place in Wyoming - first book is Open Season)
The Max Freeman series by Jonathon King (takes place in South Florida - first book is The Blue Edge of Midnight)
The Harry Bosch series by Michael Connolly (takes place in L.A. - first book is The Black Echo)"