I am a big fan of historical fiction. Below is a list I compiled awhile back of some historical ficiton sorted by period. Feel free to e-mail me with any books you think should be added to the list.
Ancient Evenings by Norman Mailer (Ancient Egypt)
The Last of the Wine by Mary Renault (Peloponnesian War)
Creation by Gore Vidal (Persian ambassador tours ancient world)
The Mask of Apollo by Mary Renault (Greek actor in Sicily)
The Praise Singer by Mary Renault (Early Greece)
The King Must Die by Mary Renault (Theseus in Crete)
Fire From the Heaven by Mary Renault (Early Alexander)
The Persian Boy by Mary Renault (Later Alexander)
Funeral Games by Mary Renault (Alexander's successors battles)
Lord of Two Lands by Judith Tarr (Alexander in Egypt)
Elephants and Castles by Alfred Duggan (Alexander's Successors)
He Died Old by Alfred Duggan (Mithradates)
Horses of Heaven by Gillian Bradshaw (Sakae, Bactrian Greeks)
Besieger of Cities by Alfred Duggan (Demetrios?)
The First Man in Rome by Colleen McCullough (Gaius Marius, Rome)
The Grass Crown by Colleen McCullough (Sulla, Marius, Rome)
Fortune's Favorites by Colleen McCullough (Sulla, Caesar, Pompey)
Caesar's Women by Colleen McCullough (Caesar, Pompey, Rome)
I, Claudius by Robert Graves (Rome up to Claudius)
Claudius the God by Robert Graves (Claudius' later career)
The Antagonists by Ernest K. Gann (Masada, Rome)
Julian by Gore Vidal (Late Roman empire)
The Beacon at Alexandria by Gillian Bradshaw (Later Rome, Constantinople)
Imperial Purple by Gillian Bradshaw (Late Rome in the East)
The Belt of Gold by Cecilia Holland (Bzantine Empire)
Count Belisarius by Robert Graves (Belisarius' campaigns)
The Bearkeeper's Daughter by Gillian Bradshaw (Justinian's Byzantium)
Firelord by Parke Godwin (Arthur's Romano-Brits vs. Saxons)
Sherwood by Parke Godwin (Robin Hood the Saxon vs. William's Normans)
The Winter King by Bernard Cornwell (Arthur vs. the Saxons)
The Saxon Tapestry by Sile Rice (Norman invasion)
The Earl by Cecelia Holland (Saxons vs. Normans)
Firedrake by Cecelia Holland (Brian Boru, Clontarf and Vikings)
The Hammer and the Cross by Harry Harrison (Viking raiders)
One King's Way by Harry Harrison (Viking raiders)
King Hereafter by Dorothy Dunnet (MacBethian Scotland)
Count Bohemund by Alfred Duggan (Bohemund, Crusades)
The Sowers of the Thunder by Robert E. Howard (Crusades, Arabs, Turks)
Lord Geoffrey's Fancy by Alfred Duggan (13thC Frankish Greece)
Rakossy by Cecelia Holland (Magyars and Turks)
Until the Sun Falls by Cecelia Holland (Mongol invasion)
Men Like Shadows by Dorothy Charques (Mongol invasion of Europe)
Antichrist by Cecilia Holland (Frederick II, Holy Roman Empire)
The Bruce Trilogy by Nigel Tranter (Robert the Bruce, Scotland)
James, by the Grace of God by Nigel Tranter (15thC Scotland)