I'd like to nominate
Memoirs of Hadrian by Marguerite Yourcenar. Jacob Epstein in the WSJ had this to say about it: (spoilered for length, not spoileriness)
Spoiler:
Mme. Yourcenar wrote a good deal of fiction, but her imperishable work is "Memoirs of Hadrian," first published in French in 1951. The novel is in the form of a lengthy letter written by the aged and ill Emperor Hadrian, who ruled from A.D. 117 to 138, to the 17-year-old but already thoughtful Marcus Aurelius.
Roman emperors seem to be divided between monsters and mediocrities, with an occasional near-genius, like Hadrian, thrown in to break the monotony. Highly intelligent and cultivated, he was a Grecophile, always a good sign in the ancient world. As emperor, he attempted to pull back from the imperialist expansion of his predecessor Trajan and wanted, as the chronicler Aelius Spartianus put it, to "administer the republic [so that] it would know that the state belonged to the people and was not his property."
And yet Hadrian was also a Roman emperor, which meant living amid dangerous intrigue, wielding enormous power and being able to fulfill his erotic impulses at whim. He was, Spartianus writes, "both stern and cheerful, affable and harsh, impetuous and hesitant, mean and generous, hypocritical and straightforward, cruel and merciful, and always in all things changeable"—in short, not a god but a man.
Mme. Yourcenar has taken what we know of the life of Hadrian and from this sketchy knowledge produced an utterly convincing full-blown portrait. One feels that one is reading a remarkable historical document, an account of the intricate meanings of power by a man who has held vast power. Imagine Machiavelli's "The Prince" written not by an Italian theorist but by a true prince. Imagine, further, that he also let you in on his desires, his fears, his aesthetic, his sensuality, his feelings about death—in a manner at once haute and intimate, and in a prose any emperor would be pleased to possess.
Now where's Paola? I know she wants to read this!