A paramagnetic response of transition metals and itinerant d- and f-metal compounds in an external magnetic field is studied by employing ab initio full-potential LMTO method in the framework of the local spin density approximation. Within this method the anisotropy of the magnetic susceptibility in hexagonal close-packed transition metals is evaluated for the first time. This anisotropy is owing to the orbital Van Vleck-like paramagnetic susceptibility, which is revealed to be substantial in transition-metal systems due to hybridization effects in the electronic structure. It is demonstrated that compounds TiCo, Ni3Al, YCo2, CeCo2, YNi5, LaNi5, and CeNi5 are strong paramagnets close to the quantum critical point. For these systems the Stoner approximation underestimates the spin susceptibility, whereas the calculated field-induced spin moments provide a good description of the large paramagnetic susceptibilities and magnetovolume effects. It is revealed that an itinerant description of hybridized f electrons produces magnetic properties of the compounds CeCo2, CeNi5, UAl3, UGa3, USi3, and UGe3 in close agreement with experiment. In the uranium compounds UX3 the strong spin-orbit coupling together with hybridization effects give rise to peculiar magnetic states in which the field-induced spin moments are antiparallel to the external field, and the magnetic response is dominated by the orbital contribution.