Sandman Slim by Richard Kadrey is about James Stark, a man who is betrayed and dragged into Hell while still alive. He spends eleven years in Hell, fighting in a gladiatorial arena where he becomes Hell's most formidable fighter, known to the demons as Sandman Slim. His skills catch the eye of Azazel. Lucifer's general gives Stark a key that allows him to enter a shadow and come out anywhere he wants and Stark becomes Azazel's hitman. But Stark soon turns on Azazel, kills the demon general and escapes Hell. Once on earth, Stark seeks revenge on those who sent him Downtown and, one could say, all Hell breaks loose.
Sandman Slim was a pretty enjoyable read, fast paced with a well constructed universe. If you enjoy the urban paranormal genre, I do not think you would go wrong to give Sandman Slim a read.