Cozies, in the very broadest terms, are murder mysteries where the violence is low key or "offstage" for the most part. I tend to prefer historical ones over contemporaries for the most part, so any Agatha Christie, Dorothy Sayers' Lord Peter Wimsey, Peter Tremayne's Sister Fidelma, and Ellis Peters' Brother Cadfael are all favorites of mine. But there are a number of contemporary-set ones I've enjoyed too.
I do read stuff that's a lot darker/grittier/bloodier, but a good deal depends on mood and what's going on in my life. Right now, I can only take that sort of thing in small doses, which probably explains why both urban and epic fantasy aren't much on my plate.
I actually had a slump after reading the first 11 Dresden books in a row.

And reading something like 30 of J. D. Robb's
In Death series in a span of six weeks did me in for
months! Sometimes, you just get so caught up in a book universe that nothing else will do.
Currently reading:
A Covent Garden Mystery, Ashley Gardner (Captain Lacey Regency mysteries, #6). I've quite enjoyed these, but this is the last one I have in my collection, so it's probably a good stopping point so I don't get too burnt out.