Well Brian, here's a few books I've read that revolve around Ancient Rome that include Fantasy and SF:
Roma Eterna by
Robert Silverberg. This novel deals with the scenario of what would have happened if Ancient Rome only declined gradually over history but didn't actually become overrun and was still active into the 20th Century. The stories are detailed from the perspective of 10 fictional emperors at apparent critical moments in this extended version of the Eternal City. A reasonable read but nothing startling....Much prefer his wonderful Majipoor cycle.
Lest Darkness Fall by L Sprague de Camp. A time travel yarn that involves a modern day History professor who is sent back prior to the fall of ancient rome. The professor tries to fit into Roman society and perform the somewhat obvious task of trying to prevent Rome's fall. Despite the basic premise, a very fine and well researched work and arguably de Camp's best effort in a long career.
Household Gods by Harry Tutrledove and Judith Tarr. Story of a modern day lawyer and single mum who dreams of a "better" life. She awakens to Rome in the second century in the body of taverner and has a somewhat interesting time trying to adjust to roman life. Apart from the somewhat irritating main character, a fun sort of read.
I am A Barbarian by Edgar Rice Burroughs. An account of a fictional slave at the hands of Caligula. Perhaps more sword and sandal than pure fantasy it will nevertheless appeal to fans of Robert E Howard. An enjoyable read and highly recommended.
Bran Mak Morn stories by Robert E Howard. Of course I couldn't pass on mentioning my favourite pulp author. Here's a short blurb from a REH website to give you a gist of the setting. I've read them and enjoyed them.
Mightier than Gladiator and Braveheart, Bran Mak Morn is Robert E. Howard’s darkest and noblest hero. Venturing to hell and back, Bran unleashes the infernal powers of the Worms of the Earth and unlocks the gates of time to bring the Roman Legions to bay in ancient Britain. Last king of the dying race of Picts, Bran Mak Morn’s spirit lives on forever to fight for his people’s freedom and survival.
Videoss cycle by Harry Turtledove. A whole series of books have been written by Turtledove about a roman legion that is magically transported to a Byzantium style empire in a parallel universe where magic is employed. It's actually not bad but not really that satisfying, although the author certainly seems to have researched the topic pretty well. Only read 1 or 2 of these. Appear to be quite popular actually.
AD 62 Pompeii by Rebeeca East. A time travel take on a student of history who puposefully travels back to Pompeii for a fact finding mission. Not one I'd recommend but then some people I know have enjoyed it...
Roman Mystery novels - John Maddox Roberts. This guy writes a series of I think mystery stories set in anceint rome but never read any of them. Not really fantasy per se although his book
Seven Hills does provide for an alternate take on Roman history.
Hope this helps Brian....