don't forget the wailers redside! you won't get those blueside 
http://paragonwiki.com/wiki/Wailers
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Demons are a threat to everybody; everybody is fighting demons. Redside has the demons of Cap au Diable, the Thorn Tree, and the Wailers of St Martial; blueside has the bulk of Oranbega, more Hellions, plus the high-level CoT presence in Peregrine and their possessed scientists. You basically can't go wrong, and if you play a Vig or Rogue, you get both. (It immediately strikes me that a demon hunter, following laws higher than those of the USA's mortal authorities, would make a great Vig.)
Technically, redside has more demonic options.
Blueside all the demons are Circle of thorns. You just have the Spectral demons and the fire demons. In a few places you get possessed scientists.
Redside you not only have multiple factions, but also the Circle has many more demons. The advantage of this is that you can play as a demon hunter throughout your cahracter's career, and not have to focus on only the CoT missions.
Low level you have the frost demons (lashers and berserkers). Mid level Succubus and Hoarfrosts show up and both stick around into the high levels. I particularly like the succubus because they not only placate, they confuse. Fun times ("dude you hit me!" "sorry, the succy confused me" "but you placated me first and used Assassin Strike"). I should do some pugs and see if that still works hehe. Anyway, just like blueside you can take CoT missions from 1-50.
In Cap you have the Strike Force dealing with some very unique demons. But there are also the gremlins of Cap Au Diable which are demonic. These will take you into the low 20s. I forget the specific Strike force level.
As mentioned above, the major storyarc in St. Martial deals with sonic demons named Wailers and there are multiple story arcs for them, (Hardcase and Johnny Sonata are the prime examples). St. Martial is mid 30s to low 40s.
Finally, in Grandville, Crey decided to try and play with the genetic code of a demon and use it in the Revenant Hero Project. As you might expect, this didn't play out quite as they intended (Tavish Bell's story). This is a 40+ arc.
So, I'd vote redside as you have more variety in the demons.
Council aren't supernatural, they are alien. Vampires, Warwolves, and Galaxy's are created by fusing nictus shards into humans in various ways. Nictus are puffballs of purple life-stealing energy from outer space. Nothing supernatural about vampires and warwolves in CoX I'm afraid. Except for the Player-created kind. =)
Now, if you just go "supernatural" then blueside has the advantage with croatoa, etc.
"Hmm, I guess I'm not as omniscient as I thought" -Gavin Runeblade.
I can be found, outside of paragon city here.
Thank you everyone at Paragon and on Virtue. When the lights go out in November, you'll find me on Razor Bunny.
There are a lot of demonic arcs and missions Redside. Heck, there's even a SF where you fight a huge -boy, I say HUGE- demon.
I do a pretty poor Foghorn Leghorn.
Edit: You could always be a Vigilante or a Rogue now and just do it all, anyway.
Awesome, thanks for all of the help. It sounds like I'll be playing a Rogue. I'd probably go Vigilante instead, but I don't think you can do contact missions on the other side.
So I want to be able to do a lot of missions with my character that have me fighting demons and other supernatural creatures.
I always just kind of assumed Heroes had more of this because you get to fight the Circle of Thorns, Council and Hellions among other things. But apparently, Villains get to fight the Circle as well, they can both join the Midnighters, and Villains seem to get a full-blown Demon Hunting arc from Hardcase. It also seems that the entire zone of Cap au Diable focuses on demons.
I didn't really expect that from the "villain" side, and now I'm confused on which side I'd rather play.
Any suggestions?