Patrick O'Brian's Aubrey/Maturin series - 20 titles' worth of total historical immersion. I can't believe that no one else mentioned these already in this thread. It's rated as one of the great novel cycles in any genre.
Also, Ford Madox Ford's The Fifth Queen trilogy about Katharine Howard and Henry VIII - available now for free courtesy of Gutenberg. Ford's Parade's End series is also a great take on life just before and during World War I - "possibly the greatest 20th-century novel in English", says one critic.
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