There are several free novellas that take place in the Cassandra Palmer universe available on Karen Chance’s homepage:
The Gauntlet – Set long before the series proper starts this focuses on a young Kit Marlowe and some witches who don’t show up in the series until the sixth book (or if they do show up earlier I don’t recall them). It’s pretty good.
The Queen’s Witch – The sequel to the above; is also pretty good if you don’t mind the spontaneous attraction between the main characters.
The House at Cobb End – Focusing on Pritkin and also taking place before the parent series this is a very interesting short story about the origins of his house. A house that I cannot for the life of me recall appearing in the main books.
The Day of the Dead – This focuses on a character I do not remember ever seeing before (Thomas), though I do remember the main antagonist (Alejandro) getting mentioned in passing a few times. The story is okay… if a bit random and not particularly engaging.
In Vino Veritas – Part of the Dorina Basarab spin-off, this feels more like a low quality fanfiction than an author addition. That it was originally published in an anthology explains this to an extent; anthology entries have the disturbing tendency to be vastly inferior to their parent series.
A Family Affair – Set between books four and five of the Cassandra Palmer series and featuring Pritkin, Rosier, Casanova, and Cassie this deals with a trip through one of the hell dimensions. It’s a solid story that ends up referenced a bit in the sixth book.
Shadowland – A sequel to A Family Affair, this features most of the same characters. It’s more or less on par with the prequel, with the exception that the opening scene told from Pritkin’s point of view feels completely out of character.