I am a total whore for historical fiction:

'Shogun' by James Clavell was the first book I read that had me glued to it for hours and hours at a time. Tai Pan is also a classic.

I also found the original three Courtney books by Wilbur Smith (starting with 'The Sound of Thunder') were a guilty pleasure. They are pure trash, with thin characters and a predictable plot but epic adventure nonetheless.

More recently I've topped off the 'Emperor' series (chronicling Julius Ceasars life) and have started the 'Conqueror' series (same thing, but its about Genghis Khan). Both by Conn Iggulden.

Not quite at the same literary level as some of the other suggestions here but I was wondering if I was the only one.