1. Romance is the Key
I'm not talking about sex. I'm talking about the heroine and hero must fall in love and have their relationship develop over the course of the book in a way that makes it a primary story line.
This is a personal preference. I'm not a huge fan of wimpy heroines who can't make a decision, and need the hero to save them or protect them. I do like the "development" plots where the heroine discovers her strength over the course of the book. As long as she's kick ass by the end.
The hero has to be as kick ass as the heroine, otherwise it's not a balanced romance. This doesn't mean he's an alpha-hole jerk or super bossy--though that can happen as long as the heroine is the catalyst for change in him. It doesn't mean he's the head honcho even, or supernatural himself. But it does mean he can hold his own with her, has specific values, is trustworthy, is protective, and so forth. And, most of all, he loves the heroine (or falls in love with her). There are entire posts all over the internet devoted to the Alpha Male.
I find this to be the fun part to read and write. It's limited only by my imagination. Super powers, shifters, fairies, ghosts, etc. But it's not a paranormal romance if there isn't some kind of supernatural element to the story.
Paranormal romance is set on earth in current day most typically. Other more exotic settings tend to fall into other subgenres. So the current world is already built. Paranormal romance has to build the supernatural world into it. Is it a secret? Are there societies? What dictates their norms? Is it more about the individual? And so on and so forth?
The conflict in these stories can come from a few places. You can have a villain - which, because of the paranormal elements - tends to be some kind of super villain. You can have the supernatural elements be the conflict. Remember that the romance is the key - is her ability to see ghosts freaking him out and that's the conflict? Is the world building the conflict? Is this a dangerous world for our heroine/hero to live in?
This is a romance. It has to have the happily ever after. I know there are series of books in this genre where the hero/heroine don't have their happily ever after till the last book. While this works for some, it's not my favorite. I like to have the couple end up together and happy at the end of a single book. Even in a series.