Depends on what you're looking for.
There's been tons of historical fiction written, for as far back as you care to go. If you want to start for free, try project gutenburg, mobile books, bookyards, and sites like that. The books are on average 70 years old or older, but hey, they're free.
Pratchett's written about 40 or so books, and they're as much humor as fantasy. I personally like 'em, but it takes all kinds to fill a freeway...
Alternative history covers Turtledove (I've read about 40 of his or so), some of Harry Harrison's, most Steampunk (Anno Dracula is one I've finished recently).
Speaking of Sherlock Holmes; Sir Arthur Conan Doyle also wrote some historical fiction, the White Company, if I remember correctly, and a couple of others.
Hope that gets you started.
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