A novel cycle which thoroughly explores an unfamiliar world in depth can be a very rewarding experience. My favorites include Forester's Horatio Hornblower series, about an 18th century Royal Navy officer, and Fraser's tongue-in-cheek Flashman series about a Victorian British cavalry officer. (Politically incorrect, but hilarious, bawdy, irrevent, and extensively footnoted.)

It a great way to learn a little history and immerse yourself in another world until you feel you understand it thoroughly. In science fiction, there is the incomparable Dune cycle from Herbert, and for mystery fans, Ross MacDonald's Travis McGee.

There was a great one on HBO not too long ago, "Rome", two dozen 1 hour episodes that put you in late Republican Rome. Follow that up with Grave's "I, Claudius", and "Claudius the God" that explores the beginnings of the Empire. Sword-and-sandal epics are often not too authoritative, they essentially put modern personalities in togas and let them loose in the past, but these two are "archaeologically correct", and put together by people who have actually studied those periods professionally.

A good dramatic production or novel can teach you not only what happened in the historical past, but how the people at the time reacted to those events from their frame of reference. It's a great education.