The Anita Blake books are all first person, and it works well IMO. First person can really suck a reader in - it puts them in the middle of the action - if it's done well. That said, I wouldn't use it all the time.
I think I may have said this before, but I tend to prefer limited third person. That is, you see only what that one character sees, feel only what they feel - but it's not quite as limiting as first person can be.
What I hate are stories where the author skips around, with a different view point every chapter, or worse, every few paragraphs. At best it's annoying, at worst it confuses the reader.