I think that a tight plot and character transformation is part of what makes this book so good.
For a series that's already this long, and predicted to be quite a bit longer yet before it's done, there's a real danger of having books where characters show up and merely go through the motions. All good stories are stories about people and the things that happen to them, and how they respond to them. This means, as an indirect correllary, that all good stories show transformation of character; Harry Dresden can't show up as exactly the same character book after book after book, with no change at all to him or his relationships to the other characters.
I think this is one of the things that makes the Dresden Files much better than many of the formulaic type stories that by inference are part of the background of source material on which Butcher is basing the series. Look at some of the classic detective stories and action stories series. Characters like Philip Marlowe, Nero Wolfe, James Bond, or heck, even the Hardy Boys or Mack Bolan go through novel after novel, and one of the main premises of each novel is that it leaves the situation at the end of the novel exactly the same as it was at the beginning. That way, any reader can pick up any such novel out of order and get the same experience out of it. Heck, the Hardy Boys, which I read religiously one year when I was about nine, the characters can't even age much less exhibit any other type of growth or transformation. If there is any evolution in those characters, it's only because the syndicate is so long-lived that as prevailing social attitudes have changed, the characters have been slightly tweaked to match.
Butcher doesn't fall into that same trap. Dresden has seen a fair bit of growth as a character himself, and his relationship with various other characters has evolved as well; frequently in traumatic and dramatic ways.
In any case, White Night doesn't feel like set-up; it's a complete and viable story in its own right, and actually one of my favorites in the series. I particularly like its focus on the White Court of vampires, since I see them as among the most interesting of the many supernatural entities with which Harry interacts frequently. Perhaps that's because of the relative humanity of these vampries. They, quite literally, are much more human than any other of the supernatural terrors Harry faces (with the exception of bad wizards, or "warlocks") and as such, they're more understandable and you can relate to them. Even as you're simultaneously horrified by them, of course.
Highly recommended. I am, however, going to put a small hold on Dresden reading. I've been in the midst of my omnibus of Hawk & Fisher books for far too long, and I'm going to read the final book in that omnibus (The God Killer) before picking up Small Favor. That shouldn't take more than a few days tops, though.