Here are some of my favorites. I haven't read the entire thread, so I may be repeating others' suggestions. I have a predilection for "ancient culture" historical novels, so they may not be to your liking.
The Red Tent by Anita Diamant. Based on the life of Dinah, the only daughter of Jacob (from the Bible.) Warning: If you are a die-hard Bible lover, you might really hate this book. If you're more open to interpretation, you might really love this book. It's damn good historical fiction.
Anything by Judith Tarr. In my opinion, absolutely the best writer of Egyptian historicals, though they tend to have a smidge of fantasy in them (based on the Egyptians' belief in magic, so it works in context.) Tarr has an incredible way with narrative. I especially liked Lord of the Two Lands.
The Twelfth Transforming by Pauline Gedge. She has several other Egyptian historicals, and they're pretty good, but I think The Twelfth Transforming is by far her strongest book.
Orson Scott Card's Women of Genesis series. I'm not a religious person and don't particularly care for Christian fiction most of the time, but Card did a damn fine job from a historical-novel perspective. Period details are spot on, characters are very well developed, and story arcs are solid. Card's a good writer.
The Palace of Illusions by Chitra Banerjee Divakaruni. Maybe not strictly a historical novel, but it is appealing for the same reasons historicals are appealing. This one is a novelization of the Mahabharata. Great writing. Divakaruni is always pretty solid.
The Twentieth Wife by Indu Sundaresan. I'm 50/50 on this one. On the one hand, beautiful writing. On the other, I didn't find any of the characters to be likeable. Could just be me, though. I haven't read her other books yet, but am planning on it. This book follows the life of a woman who ascends through the concubine pool to become one of the wives of Emperor Jahangir.
Cleopatra Dismounts by Carmen Boullosa. WARNING: LITERARY NOVEL! This is a somewhat trippy but gorgeously written history plus two alternate histories of Cleopatra. Definitely worth checking out. It's short and very delicious.
Queenmaker by India Edghill. Another one loosely based on the Bible, about King David's queen. Pretty good -- I enjoyed it.
Anything by Margaret George. She's done a few ancient-culture historical novels, and a couple of Tudor-era novels. All of them are great.
Getting away from the ancient Middle Eastern/Indian settings...
The Observations by Jane Harris. Really good book with unexpected plot devices. For a real treat, track down the audio version, read by the author. She does a knockout job of reading her own book (rare in the world of audiobooks!) This one is set in Victorian England.
The Pillars of the Earth by Ken Follett. Long, but rich in world-building goodness. Medieval epic.
Karleen Koen's novels. I started with Through a Glass Darkly, but I think you can start with any of the three and still appreciate them all just fine. Really luscious writing. All set in Europe during the early to mid 1700s.
Lonesome Dove by Larry McMurtry. Set in the USA during the good ol' western days. Love it.
Gone With the Wind by Margaret Mitchell. Civil-war America. You're probably familiar with it.
One Thousand White Women by Jim Fergus. Actually an alternate history, set in America in the early 1800s (I think). Journal-style narrative, which was difficult for me to stick to, although I'm glad I did -- the story is great.
And finally, I must recommend a book that's not a novel, but reads like one. Harriette Wilson's Memoirs, compiled and edited by Lesley Blanch. Harriette Wilson was an extremely clever and witty woman, even from a young age, and her memoirs and letters are fantastic reading. She recorded her life with all the detail of a novel, and has a grand voice. Absolutely worth reading! (For those who don't know, she was an infamous courtesan during the Regency period. It's a nice counterpoint to the Jane Austen view of the Regency.)
Hmmnn. Let's see. You could try:
