In what are sure to be controversial choices, Rebecca Stott gives her list of the five best books of historical fiction.
I'd add - no great surprise here - the Aubrey-Maturin novels by Patrick O'Brian set in the Royal Navy during the Napoleonic wars; Life and Fate by Vasily Grossman which gives us Russia during World War II; and, hey, why not War and Peace?
When I was young, historical fiction was common. Kenneth Roberts, Harold Lamb, and Thomas Costain provided clever ways of learning history without reading history. Their books may be worth another visit.