I really loved the Sharpe series. Read it through twice I believe. I also love the Simon Scarrow novels and quite of few of the other things mentioned in this thread (read and enjoyed almost all of them in fact). But the best I've ever read was the Patrick O'Brian Aubrey/Maturin novels. I loved Hornblower when I was a kid and those have stood the test of time but when someone asks for a recommendation for HF, I always make the same 3. Patrick O'Brian's A/M, Cornwell's Sharpe or Dorothy Dunnett's Lymond Chronicles (Which is more complex storytelling and not exactly matching your request). In my opinion, those 3 are the best of the best.
http://www.nytimes.com/books/98/10/1...ian-plank.html