Bit surprised I didn't see Gore Vidal's name somewhere in this thread. A couple I've read:
Julian, a fictionalized life of the last pagan emperor of Rome, Julian "the Apostate", is excellent. Probably my favorite work of historical fiction of all time.
Creation, about ancient Persia, Greece, India and China is also quite good, even if it does seem to ramble a bit. And the main character meets everybody from Zoroaster to Buddha to Socrates, which got kind of silly.
Burr, a fictionalized life of Aaron Burr, Vice-President, indicted for treason and also the guy who shot Alexander Hamilton in a duel, good, but only if you have an interest in that period of US history.
I'll also give Ken Follett's The Pillars of the Earth a hearty recommendation, though I'm not all that crazy about most of the other stuff the wrote.