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The Lord Nelson thread reminded me of Patrick O'Brian and his amazing 20-volume Aubrey/Maturin series. Someone once called them the closest thing possible to a time machine. Literate, funny, and always absorbing, they are a detailed look at both the British navy during the Napoleonic War as well as the home life of England.
Then there's I Claudius and Claudius The King by Robert Graves. Any other suggestions? Authenticity and quality writing matter.
There's The Sunne in Splendour, about the life of Richard III. Unlike the villain of Shakespeare, Penman's book (it's long - over 900 pages) casts the monarch in a nuanced, somewhat sympathetic light. At the end of each of her novels Penman includes a section in which she covers how much of her writing is fiction, and things she intentionally changed for narrative purposes. This was her first book. After she initially write it, her only copy was stolen from her vehicle. She rewrote the novel.
I also recommend her Welsh Princes trilogy, which focus on Llewelyn the Great, Simon de Montfort, and Llewelyn ap Gruffydd, respectively, and their relationships with the English Kings (John, Henry III, and Edward Longshanks).
All are meticulously researched, though as noted above Penman does not allow herself to be absolutely bound by history. An example is in the first novel of the trilogy, Here Be Dragons (no, there are no dragons in it), one of the main characters is Joan, Prince-become-King John's illegitimate daughter, who he marries off the Llewelyn not-yet-the-Great. Nothing is known of her early years, yet Penman presents a fictionalized version of how they might have been.
I'll also mention the following book, which is fantastic - but I'll leave it to the Washington Post to explain it, because it's complex.
James Clavells' Shogun and King Rat were both great historical fiction about both feudal and WW2 Japan. Clavell truly studied the Japanese culture and way of thinking. These books offered a very insightful look inside Japan. As a people. Detailed and well researched as well as very well written.
Winston Graham's "Poldark" series has gained new readers since the latest adaption, but since each version filmed to date has inevitably had to leave out some details, the books are still preferable for getting the whole story. This is immersion fiction - good plots and characterization, but it's the richly descriptive passages and details which place the reader firmly in late 18th-early 19th century rural Cornwall.
Hilary Mantel's books are darker than the Poldark series, but are also immersion fiction, and her characterization is outstanding. Great use of language to set mood and define character, too.
Oldies but still goodies, with some reservations: Elswyth Thane's Williamsburg novel series (if you can find them - try used book stores), starting with "Dawn's Early Light". The first three titles are the strongest.
Popular with female readers, but with plenty of blood and thunder for masculine readers, these books are a loosely-connected family saga which covers most of two centuries. If you like memorable characters, good description, pretty clothes and interesting names of characters, plus lots of romance and reasonably accurate history and geography and satisfactorily happy endings, these will do nicely.
Not everyone is upper-class - characters include an abused pair of young twins with a drunken no-good father, a chorus girl (with a heart of gold), a scrappy young newspaper man, and so on. But the upper class certainly do make more than appearances, as a number of major characters are both cultured and quite wealthy, and Thomas Jefferson and George Washington make cameo appearances in the first title.
One caveat: Thane's books reflect the time in which they were written and the author's and her white characters' racial attitudes are not enlightened as a result. There's nothing hateful or horrible, and relationships between characters of different races are depicted as cordial to affectionate, but there's still a lot of stereotyping and condescension toward black characters, almost all of whom are faithful family servants.
Attitudes towards Germans and depictions of most German characters are similarly stereotyped, as the books were written around World War II and just afterwards, when the camps' full horrors were made clear. But if you can get by these flaws, Thane's books are still worth reading. If she were writing today, I expect her books would be considerably different.
The obvious ones are the Shaara (father and son) series on the Civil War. He also branched out to other wars (one I particularly enjoyed was on the Mexican-American War.
Bernard Cornwell as has been discussed recently - not only the Sharpe series but various other points in time such as his Saxon series.
James Fenimore's classic "Last of the Mohicans" also is part of a series of books set both pre- and post-revolutionary war America.
Harry Turtledove is mostly about alternative history but he has at least one historical novel on Ft. Pillow that I quite enjoyed.
I have a couple books by Harold Coyle on the civil war and I think like Sharra he deals with other America wars as historical fiction.
For the colonial history of Upstate New York, Dd714 mentioned Last of the Mohicans by James Fenimore Cooper (who also wrote several other novels with some of the same characters like Hawkeye).
I would add The Drums Along the Mohawk by Walter D Edmonds. This book takes place during the American Revolution when the pioneers in the Mohawk Valley were isolated and surrounded by hostile British soldiers, Tories and Native Indians. It is well researched and contains real life characters.
The last time Drums Along the Mohawk was made into a move was 1939 I believe, with Henry Fonda and Claudette Colbert. Probably overdue for a remake by Hollywood.
George MacDonald Fraser's "Flashman" series is both funny and educational if Britain's affairs of the second half of the 19th Century interest you.
Along with Patrick O'Brian, there are the Horatio Hornblower books by C. S. Forester, and another series I have loved by Dewey Lambdin featuring Alan Lewrie's rise through the Royal Navy. Lewrie is probably the most interesting character among the Maturins and Hornblowers, he is full of entertaining faults. The latest Lewrie book gets published this Tuesday and I'm really looking forward to it.
Turtledove is a bad writer, all the value comes from his interesting ideas, but they get presented by cliche characters uttering cliche dialogue. He is repetitious to the point of making me suspect that the books are written by hired underlings working with character/plot fact sheets, and assembled by Turtledove.
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