Which created a fair amount of food for thought!
At one level, creating an alternate world may give you more
freedom to create things the way you want, but I can also think of some contemporary urban fantasies where the use of
real-world places are used to powerful ‘world building’ effect.
Gaiman’s American Gods is one great example, and Charles De Lint’s Newport another — and I also love Charlaine Harris's Louisiana backdrop to the Sookie Stackhouse novels (televised as True Blood.)
And in terms of almost-but-not-quite-this-contemporary-world
building, I personally don’t think you can go past Robin McKinley’s
urban fantasy, Sunshine ...
In all these stories the sense of place is very strong, almost a
character in its own right, and I feel that this sort of world building
would have taken considerable imagination and craft.
So, too, of course, does creating an alternate world — and although 'creating your own world' may give you more freedom, you also have to give considerable thought to creating landscape, built environments, and associated cultures, to ground your readers in an authentic sense of place.
So perhaps, in that sense, being able to use our world, where those aspects are taken as given, is a little easier.
The excitement, though, arises in the successful contrast of the fantastic and paranormal with our everyday experience — something we're all about on the Supernatural Underground!