I am going to update this post once I get all the way to 25, but I wanted to post my initial 10 books/series. I read a lot of historical fiction, including historical romance and historical mystery.
Sharon Kay Penman: if you are looking for historical fiction, you absolutely cannot go wrong with Sharon Kay Penman, and the Welsh Princes trilogy is my personal favorite (Here Be Dragons is the first book), although I also really liked The Sunne in Splendor, so I'm adding that one, too.
Deanna Raybourn: I am going to recommend both of Raybourn's primary historical mystery series. Silent in the Grave is the first of her Lady Julia mysteries and A Curious Beginning is the first of the Veronica Speedwell mysteries. Both of them are set during the Victorian period.
So, this book raises the question: how historical does a book need to be in order to be historical fiction? From my perspective, any book that occurs prior to the lifespan of the author would be considered "historical," since they can't rely upon their own experiences to convincingly portray their setting (i.e., Pride and Prejudice isn't historical fiction, because Jane Austen was writing in a contemporary setting). By this definition, Death Comes for the Archbishop would qualify - it is set in 1851, Willa Cather was born in 1872, and the book was published in 1927.
With respect to the book itself, it's simply beautiful. It's sparely written and is based on the life of a Catholic priest who is sent to minister to the archdiocese of New Mexico. No one writes about the desert more evocatively than Cather, who is able to manifest of the mythic beauty of the landscape into words.
M.M.Kaye: Honestly, a reader can't go wrong with M.M. Kaye. The Far Pavilions is her masterwork, and epic, sprawling tale of British Raj India, featuring Ashton Pelham-Martin, a British boy raised by an Indian woman who bears a more than passing resemblance to Kipling's Kim, and Anjuli, a half-caste Hindu Princess. Kaye's other major work, Shadow of the Moon, is also set in India during the Sepoy Mutiny. It doesn't match The Far Pavilions in either scope or execution, but it's well done and enjoyable nonetheless. Her third epic is called Trade Winds, and it is a polarizing tale.
As an aside, Kaye has a small series of mysteries that are not historical, but that are set in exotic locales around the world. They are also entertaining.
This is Pullman's *other* series - not His Dark Materials. It's a short, YA series that features Sally Lockhart, a plucky, Victorian orphan, and it's delightful.
I have a small obsession with dual timeline books and Kate Morton writes really good ones. The House at Riverton was the first one that I read, and I've enjoyed them all. The Distant Hours was probably my least favorite, and I really liked her most recent book The Clockmaker's Gift.
Susanna Kearsley writes books that are more romance focused, and The Winter Sea is my favorite of them all. She's more hit and miss than Morton for me.