I love reading paranormal stories, and discovering new worlds full of magic and monsters. But I hate it when I start reading a new book and it seems like the only research the writer did was watch a cheesy move like The Craft, or even worse, a few episodes of Charmed. If your fictional magical system is based on a lot of extravagant hand waving and liberal doses of deus ex machina, some readers may accept that but many will want to throw the book across the room. Since I don't want any of my books thrown across the room, I do my research.
One of the best resources for research into magical systems paranormal writers might want to use in their fiction is the Internet Sacred Text Archive. It's a free online resource I first found several years ago when surfing the net for my own curiosity. I've found myself coming back to it again and again when I want to give my fictional worlds a more solid grounding. For one recent novel I pored over the archive's section on Chaos magic, using what I learned there as a jumping off point for a character who is a Chaote. What I learned there, and the questions I learned to ask for further research, helped me to shape both the character and the kind of magic he practices. More recently I've been looking through the section called Grimoires and starting to read some of the magical texts there, for both general research purposes and because of a story idea I've got floating in the back of my head. There's lots of other stuff in the archive, too, including a section on Tarot that I need to delve into one of these days.
For me, research is one of the most fun things about writing paranormal fiction. It can take me to places I hadn't considered the story might go and enrich both characters and plot in ways that might otherwise have never happened. Think of it this way: even the best high-diver at the pool, capable of doing all sorts of amazing twists and turns before reaching the water, needs a solid surface from which to jump. Research gives me, and my fiction, that solid surface. Sometimes it can inspire some pretty crazy leaps too, but then, what's why it's fiction.