I can't think of another fantasy novel I've read that did this. Most tend to place the sword and sorcery action in some sort of quasi-medieval mythical world. Running With the Demon is set in the modern world in a small town called Hopewell, Illinois. This is one of the strengths of the book. Anyone who has ever visited or lived in a small town for any length of time knows that there's a unique feeling and pace of life there that no big city will ever have.
People know each other and accept each other's idiosyncrasies.
Brooks captures this small town essence quite well. And well he should. Brooks grew up in a small town, and that was one of the reasons he chose this locale for his story. He recreates the sense of kids using their own imaginations to have fun. There's no mall to hang out at for them.