Typically, the Weird West genre is comprised of pulp novels and fairly mindless action movies. It's hard to take the genre too seriously when the premises are so ridiculous. But Cold As Hell does an amazing job of crafting fully-realized characters in a complex world. Yes, this is a story about an undead gunslinger trying to take down necromancers, vampires, and werewolves, but the authors treat it all with respect.
The main character is a relatively moral person who joined a gang in his youth. The gang started becoming more violent and brutal so the main character started to have doubts. And his gang murdered him for it. But an angel resurrects him and makes him a Hand of God, tasked with hunting down creatures cursed by hell.
One interesting aspect of this is his body heals extremely quickly and he feels no pain. So he can get shot multiple times and as long as his muscles and tendons are still attached, he can keep fighting. But this also means he's numb to the world. He can't get drunk, he can't feel a kiss, he can't indulge in any vices. So while he's able to continue walking the earth, he can't really do anything to make his time enjoyable. He isn't happy being a Hand of God.
Also, not every cursed creature is evil. There are werewolves who are just trying to lay low and stay out of everyone's way. And the main character doesn't like indiscriminately killing every cursed creature, which pisses off his angel handler. So the series isn't just a bunch of "go kill the bad guy" stories, there's a lot of nuance involved.
There are 2 books in the series so far, with a third planned for next year. Also, there's a 3.5-hour audible-exclusive prequel called Dead Acre which is narrated by Roger Clark (who voiced Arthur Morgan in Red Dead Redemption 2). I highly recommend the whole series.