Just Another Judgement Day by Simon R Green

There's a new sheriff in town, and he's got the Nightside's rich and powerful quaking in their boots. He's The Walking Man, and it's his mission to exorcise sinners - with extreme prejudice. Problem is, the Nightside was built on sin and corruption, and The Walking Man makes no distinction between evildoers and those simply indulging themselves. He'll leave the place a wasteland unless someone stops him, and P.I. John Taylor has been handed the job. No known magic or science can affect The Walking Man, and if John can't discover his weakness, he'll be facing the very Wrath of God.