I'd play an ordinary guy from the backwoods of Oklahoma. Good with firearms and tracking from hunting, and fights dirty in a brawl. Smart, but was only in the lower middle class until oil was found under his land. He is not insanely wealthy, but well enough off that he really doesn't have to work much.

He'd show up in the Chicago area looking for a sibling that went missing and discover that some nasty critter or black magic user had taken them. This would give him a motivation to learn about various supernatural nasties and how to stalk and fight them. This guy wouldn't really get in fights per say, as much as he would learn about a creature, stalk it, and when the time was right take it out from over a hundred yards away with a rifle.

What I like about this guy is that he would have to come up with innovative weapon and ammunition combinations for different creatures.

Anyway, that was just my two cents.