I second everything that aramis has said. But, it seems you were looking for more specific examples and I have done some of this in the past.
As AceCalhoon pointed out, you should look at White Wolf's full catalog to start with. They have done revenants (a minor expansion to Wraith) and Frankenstein's Monster-types (see Prometheus: The Created).
I have personally done Lich's in a modern setting (using Mage: The Ascension with a few house rules) and found that worked quite well. They could pass for humans, but only through the use of magic, and while they were more powerful than most Mages (by virtue of age and experience) they were shunned by the vast majority of all Mage factions. It provided for interesting social challenges and themes of isolation and "us-against-the world".
In a more gothic (modified Ravenloft setting), I have dealt with groups of death knights. Normally Death Knights are purely evil, but it doesn't take much to get into a position where the Death Knight came to his position through evil acts and deserved it, but he was a good man that fell to temptation and then began seeking redemption (there was an instance of this in the old Dungeons and Dragons cartoon setting). With a little tweaking you could have a truly good person turned into a death knight by an evil power in revenge for something the goodly person did to thwart the evil power.
I noticed the horror tag, but I will point out that Dragons make excellent PCs as long as you are going for a high power game. In DnD, most dragons can easily take on a human form, but they have a lot of power and a different enough thought and social structure to get into some interesting culture-shock situations. And sometimes it is fun to just run a high powered game where the PCs can decimate a large percentage of the opposing army at first... until that army comes back with its own Draconic backing.
And of course it can be fun to experiment, especially for One-offs rather than extended campaigns. I have done a cyberpunk setting one-off where the characters were AIs. I haven't tried it yet, but I think a game where the characters exist entirely in Dreams (think something like Nightmare on Elmstreet) could be fun. They might be able to subsist only on strong emotions and be forced to move to different dreams as the dreamer wakes up. If they were generally benevolent, they might have the challenge of creating strong emotions in a positive (or at least nonharmful) way, and find that the easiest ways to create strong emotions are by inciting fear and anger in ways that might harm their hosts. If they were less benevolent, it could be fun to just let the players creatively torment their hosts for their own sustenance while the hosts hunted for ways to end the nightmares.