General:
Lewis Mumford: The City in History. Classical work on the history of cities (though i did find it somewhat disappointing concerning the cities in the Roman World, but i guess a lot of research been done on that subject after this one was published in 1961).
William James: The Variety of Religious Experience. Not a history book, but great help in bringing you some perspective on things when reading history (especially these days).
Rome:
Gibbon: Decline and Fall of the Roman and Empire. These books you cannot get around if your interested in Rome.
Syme: The Roman Revolution. Still stands as
the work on the transition from Republic to Empire. And published in 1938 also gives you some interesting comparisons to the history of that time (though of course Syme is much too serious a historian to have had that hidden agenda
)
Lémprieres Classical Dictionary. Originally published in 1788 but still an incredible informative (and cheap and handy) source of information of practically any name that is mentioned in the classical texts themselves (anno 1788 or with the "newer" edition anno 1850).
WWII:
Shirer: The Rise and Fall of the Third Reich. Massive highly entertaining and enlightening work, almost (but not quite) comparable to Gibbons show of strength.
Churchill: The Second World War. Gives an interesting account of the war as seen through this truly remarkable mans eyes, loaded with full quotes from his official archives. But beware Churchill had his personal interest in the affair as well, but read this one with caution and it will make you relive WWII.
Guderian: Achtung Panzer! One of the books that made it all possible. Published in 1937 but the thoughts behind this one had been implemented in the German army a couple of years before. Learn what the Germans had found out about armoured warfare and the rest of the world had not (well maybe they had, but they had forgotten about it again).
Stephen G. Fritz: Frontsoldaten. Tries to give you an insight in the truly Dantesque Horror it mustve been to have been a soldier on the Eastern front. A psychology of the Eastern Front soldier if you will.
Anything by Antony Beevor. He really manages to write books that brings new light on the subject at the same time as being as entertaining and good reads as the latest suspense book.