Harry Connolly writes smart, suspenseful, character-driven action stories about a guy who has to save the world. Twenty Palaces is the first book, written before the three published novels, which takes us back to see how Ray got swept up into the world of the Twenty Palaces. He has to start putting things together from small hints, sometimes guessing wrong, but always moving quickly.
I highly recommend all of this series. Although this first book isn't quite as tightly plotted as his later works (Connolly keeps getting better, so reading his first book last means stepping back a little), it still provides a good read while showing how Ray moved into his current line of work. All of the Twenty Palace books thrive on action, with Ray getting into various fights but also into various traps that he thinks his way out of -- here he climbs walls, he fights in a baseball field, he grabs a police car as a weapon, he's just an active guy.
What is especially good here is Ray's ambition for power; it's mostly shown through action in the later books, but here he gets his first taste at magic, and he likes it. He understands why people are willing to do awful things for it -- he feels the same temptation, and he's never sure which way he'll fall. Annelise is also good here -- nobody knows anything about her, she's shadowy and possibly evil and incredibly terrifying.
I'll keep chasing down anything else Connolly gives us; I'm on the Kickstarter plan for the anthology he's in.