Bernard Cornwell is the master of historical fiction. Try his Sharpe novels if you like war novels, he knows how to tell a good story but also shower you with facts. Look up "Sharpe" wiki. Infact other than Sharpe Bernard Cornwell has lots of good novels to choose from, from various time periods.
I'm not sure if you could consider novels about the 20th Century as 'historical fiction' (at least not in the same way as, say, the 'Sharpe' books - which are a good read, as said above), as the authors, mostly, lived through it. For WW2 (although written by people involved) The Tin Drum is really good and so is Catch-22, although both from a more unusual style.
For Napoleonic naval history, there's the Hornblower series.
I loved The Book Thief - it's one of my favourite books. My dad has read Bernard Cornwell's Sharpe series and enjoyed them so you could try those. I haven't read many set in that period so I wouldn't know
If you're interested in Elizabethan England, then SJ Parris is the way to go. I've read the first two in her series with Giordano Bruno, and look forward to reading the third. She combines the history of the time with a crime/thriller style, I'd highly recommend her.
It's about an English soldier in WW1 who goes and fights, as well as a love story interwoven (but certainly not taking precedence. I don't like romance and I love this book). It sounds an average book but it has amazing reviews and really, it's just something else. Thoroughly recommend it.
The Siege, by Helen Dunmore
I'm reading this at the moment and it's about the German invasion of Russia, focusing on a Russian family as they attempt to survive starvation and war. At the minute it's unexpectedly good.