My primary love in writing fantasy is secondary world fantasy. I love exploring the limitless what-ifs in a setting. I love worldbuilding, both the act of creating a new world and incorporating it into a work in a way that seems natural and seamless. (Even if that sometimes gets me smacking my head into a wall, it's good smacking.)
However, I do write urban fantasy occasionally - that is, fantasy set in our modern world - and I've found there are two reasons I will reach for it:
1. Playing with real world mythologies and the occult. There are so many intriguing possibilities if you take myths and legends as true ... or mostly true. You can play with this in a secondary world, too, but it's less direct, and there's something viscerally satisfying about taking a piece of our old beliefs and making it real.
2. Humor. There are so many jokes and wisecracks you can make in a contemporary setting with our wealth of shared culture. It's also easier to highlight humorous incongruity in a more familiar setting.
There is one more possibility that I haven't consciously based a story around yet, but it makes sense to me as an appeal of urban fantasy. This came from hearing Sarah Hoyt at the WFC ...
There are places in our personal experience that, for whatever reason, we find magical. (In her case, it was diners.) This may be a childhood encounter; it may not. But transforming the metaphorical, imagined magic into real, concrete magic ... I think it's a very powerful idea. And it's certainly something that's (almost) unique to urban fantasy.
Oddly enough, I can't come up with a personal example right now. Maybe I was just born a soulless cynic. ;-)