Conn Iggulden has a Mongol series (Conqueror series), a Roman series (Emperor), a medieval series (Wars of the Roses), and a Greco-Persian wars "series". The latter is not technically a "named" series, but the books cover Marathon, Thermopylae/Artemisium, Salamis, Plataea, the Peloponnesian War, and Cunaxa/The Anabasis.
Bernard Cornwell's series (Arthur, Saxon/Uhtred, and Sharpe books) have already been mentioned, and are excellent reads. I'll add his Archer/Grail quest series (English bowmen and Crecy), as well as 1356 (Poitiers) and Agincourt. While not fiction, Cornwell's "Waterloo" reads as easily as any of his novelizations, and is a great book on the battle.
The ultimate historical fiction series, however, is Patrick O'Brian's Master and Commander series. In that Age of Sail genre, Julian Stockwin's "Kydd" series is fairly good, "Hornblower" is quite good, but Master and Commander is far and away superior, IMO.
C.S. Forester is typically linked with the Horatio Hornblower books, but he also wrote some excellent stand-alone historical fiction: "Rifleman Dodd" (Napoleonic guerilla war in Spain), "A Pawn Among Kings" (Napoleon's invasion of Russia), "The Ship" (WW2 Mediterranean Royal Navy), "The Good Shepherd" (aka "Greyhound").