I just read a *wonderful* trilogy set in ancient Rome by Kate Quinn. Highly recommended!
Mistress of Rome
Daughters of Rome
Empress of the Seven Hills
One of the things Quinn does that I love is give you a sense, at the end of the book, for how many of her characters are based on historical figures, and which ones are her creative additions (usually just one or two). It amazes me how much of her books are based on fact, because in reading them, they are just fun-to-read and delightful stories.