The two main ones I'd recommend are
Patrick O'Brian- Aubrey-Maturin Series, amazing books, head and shoulders above every other author of his ilk, he has the detailed knowledge of age of sail history and naval life of C.S Forester, only with far better characters and writing that goes beyond the action scenes. These books had the same impact on me that War and Peace did, they became a part of my life, only while War and Peace is just one novel, this series has 20 books.
George MacDonald Fraser- Flashman Series. Another set of novels set in the 19th century, only with a vastly different tone. Flashman is a coward whose undeserved reputation as a hero (he is often in the right place at the right time or the only survivor of a battle due to his ability to avoid fighting) sees him involved in everything from the Opium Wars to organising the Charge of the Light Brigade. Incredibly funny novels which do an excellent job mocking the 'Boys Own' style of manly historcal action novels.
I'm also just starting a rather good series about the navy during the American Revolution by James Nelson, but they are driven by the action more than the characters