1. The Washing of the Spears by Donald Morris.
You saw the movie Zulu, now read the definitive history of the Zulu Nation. Shaka, Chelmsford and Rorke's Drift -- they are all in there, and as is often the case, the truth is better than fiction.
2. At Dawn We Slept by Gordon Prange.
The story of Pearl Harbor as seen from both sides.
3.The Personal Memoirs of Ulysses Grant by U.S. Grant
Simply one of the best autobiographies ever written. I would also recommend the Memoirs of Wm T. Sherman, it is harder to find but offers unique perspective from Grant's.
4. D-Day by Stephen Ambrose.
I think this was better than Band of Brothers.
5. The Guns of August by Barbara Tuchman.
In my opinion Tuchman was one of the greatest historians of all time. She was able to couple history and storytelling in a way few have been able to duplicate. This book details the events leading up to and the opening month of WWI. This is one of the finest history books ever written.
I would also recommend The Frontiersman by Alan Eckert. This book is a highly researched work of fiction, but the narrative sticks with painstaking accuracy to historical fact. This novel is the story of the opening of Kentucky and the Northwest Territory. If you think a dry historical narrative is not your cup of tea, I suggest you start with this book. Then try the others listed above and I bet you will find them just as fascinating.