These days I think I'm a bigger fan of historical fiction than I am of fantasy. I'm not quite sure when that switched around. My first forays into historical fiction were with murder/mystery series like C J Sansom's 'Shardlake' books, Steven Saylor's 'Roma Sub Rosa' series, and the 'John Shakespeare' series by Rory Clements.
It was after those, I guess, that I started to get more and more interested in the genre. I 'discovered' Bernard Cornwell around about then, starting with his Arthurian trilogy, which was essentially fantasy written as historical fiction, then on to his 'Warrior Chronicles' series. I'm going to start on 'Sharpe' soon - they're all sitting on the Kindle, waiting impatiently.
My favourite, without a doubt, is Patrick O'Brian's 'Aubrey/Maturin' series. I read those books and I was there, in that time, on that ship. O'Brian had a way of completely immersing you in the period without you even realising he was doing it, so much so that I didn't want to surface at the end of each book. His books are the definition of 'un-put-downable' to me, for the setting, the period, the action, the atmosphere and, above all, the wonderful characters.
Next would be Colleen McCullough's 'Masters of Rome' series. I'm deep in the fifth book at the moment. They're almost as immersive as O'Brian's. She really had a way of giving it a sense of the epic whilst keeping firmly focused on the characters, and there's a wonderfully wry sense of humour lurking beneath the surface, too.
Others I've read and enjoyed include Hilary Mantel (Wolf Hall and Bring Up the Bodies), Steven Pressfield (Gates of Fire is magnificent), Sharon Penman (The Sunne in Splendour), Karen Maitland (The Owl Killers), and - thanks to Brian - Stephen Lawhead's Byzantium.
The one I can't quite seem to get along with is Conn Iggulden, because he plays a bit fast and free with the history. I still have most of his books on my Kindle, though! Also, I really want to like Christian Cameron, but I've failed miserably so far.