Since my first taste of this in Neal Stephensons Cryptonomicon I've been hooked. His later work The Baroque Cycle is ridiculously extensive but my weakness is to finally get a sense of what character our legendary historical figures actually was (or at least a good interprative approximation of them), and in this work it was Newton.
In these books they become human.
Dan Simmons did a lot of well written historical fiction in thriller/horror settings. I've got The Crook Factory waiting in the to-read batch on top of one my shelves. Very much looking forward to reading it as Drood, Terror and Black Hills were all very very good.
I'd actually recommend anyone who is interested to make a note of these titles and buy them as quickly as possible...
I'd also highly recommend The Mongoliad (which is a trilogy) created and written not by one or two authors but by a myriad of people, experts in all sorts of different fields. Trying to pinpoint every little detail from way back when (I think the mongoliad plays out around 1240). I think they did real good on this one.
I'm not too interested in alternate historical novels, I tried John Birmingham (Without Warning, After America, Angels Of Vengeance... yes another trilogy), quite entertaining but not really my style.
But if you got any historical fiction to recommend I'd be very happy.