I absolutely love Historical Fiction, it livens things up for me between the non-fiction stuff I read (for fun, as sad as it sounds).
As mentioned earlier, the Aubrey-Maturin series is absolutely excellent, and, in my opinion, better than the Hornblower one. (Though this is something that will be debated until the end of time.)
Cornwell's Saxon tales are good, as was also mentioned, though I found much of his earlier work to be... well... good fodder. They made for quick, enjoyable reads, but with unchanging characters and a very defined plot cycle. (Small skirmish, evil rising, random woman he'll fall in love with, large battle, evil vanquished, wins woman.)
A few of my favorite pieces are done by the Shaara father and son set (Michael and Jeff), you may recognize "The Killer Angels" but I've yet to be disappointed by anything by his son, notably, "Rise to Rebellion" and "The Glorious Cause" (the build up to the Rev. War, and the war itself, told in a style similar to "The Killer Angels")
If you're in the mood for more nautical fiction, the Kydd series is enjoyable, to the point where I'm looking forward to the next book, and, if you like Sci-Fi but want more of a historic approach to it, the Honor Harrington series is inspired by the Horatio Hornblower series, and that was (and is) quite good as well, though I've not caught up with whatever's come out over the last three or four years.
As for good, solid, alternative history? Turtledove had a decent set that took it from Lee's Antietam orders not being lost and took it up through the closing of WW2 (with a the CSA winning the Civil War). I enjoyed it when I first read it some years ago, though never re-visited it, though it didn't involve the AK's appearing through time-travelers, which I was rather grateful for.