How about Birdsong by Sebastian Faulks - absolutely awesome novel about WW1 (kind of appropriate given next year is the centenary of the start of the War to End All Wars). Actually, anything by Sebastian Faulks is great. He has a books set in various key periods from the late 19th century on - I'm currently reading one set in 1959 touching on the Nixon / Kennedy election.
For 19th century, you just have got to read the Flashman series by George MacDonald Fraser. These are not only absolutely hilarious, rip-roaring tales but also remarkably accurate historically, covering a huge swathe of the most icon events of Victorian world history - the Charge of Light Bridage, the Anglo-Afghan Wars, the Indian Mutiny, Custer's Last Stand, John Brown's attack on Harper's Ferry, the American Civil War, the Boxer War and much, much more.
Then there's I, Claudius and Claudius the God by Robert Graves which are an entertaining - if somewhat sensationalised - portrayal of Rome in the immediate post-Republic days, from Julius Caesar's assasination all the way through to the death of Claudius.
Of course, if you want real historical stuff, why not just read books from those time? Many of the more recent writers are extraordinarily readable - Arthur Conan Doyle, Mark Twain, Wilkie Collins, Jack London, Jerome K. Jerome, Edgar Allan Poe, Dickens, Joseph Conrad and going back a touch further, the Bront