Working for the Devil, by Lilith Saintcrow, is the first in the Dante Valentine series.
Necromancer Dante Valentine makes a deal with the devil. Dante must hunt down and kill a rogue demon. In exchange, Lucifer will let Dante live. It’s not much of a choice. But when Dante realizes that the rogue demon was the one who murdered her friend years ago, she becomes all the more eager to hunt down the killer. With a lesser demon tagging along for protection, Dante will be getting into more than she bargained for.