Up with Lo, by Roman Hellwigi

This is a rather odd book; the main character, Lo, is the devil on earth.   Living mostly in New York, he seems to get along well, wrapping his tail around his leg beneath his suit trousers and managing to fit his hooves into normal men's shoes.   So you mostly forget about his immortality, or notice that he's not actually doing any evil deeds so much as hanging out like any other extremely wealthy New Yorker who happens to remember the past thousand years fairly well, and before that only occasionally.

As a trilogy, there are two more books to read.  I liked this one well enough, but I'm not sure if I'll bother to read the sequel.

Up with Lo (The Lo Trilogy (Book I))