I personally define "paranormal romance" as any work that has romance as one of the main plot points. "Urban fantasy" would be a work that takes place in a modern urban setting and contains elements of fantasy characters/worlds/etc. For example, most people would probably say that Harry Dresden is urban fantasy (although in some places I know DF is placed under "sci-fi), but I doubt that any of them would class it as paranormal romance.
Anita Blake for me would definitely be paranormal romance, as would Sookie Stackhouse and Kate Daniels. A general rule of thumb I use is, if the main character is spending more than one in five pages thinking exclusively about the guy she loves/should not love but has feelings for/thinks she hates but really loves/etc, then it's a paranormal romance.
(btw, little side question, but has anyone ever come across a paranormal romance with a male as the main character? To the best of my knowledge, all paranormal romances have females as their protagonists.)