If we are talking about Historical Non-fiction novels...
You are often talking about a lot of dross to be waded through. Showell Styles wrote a lot of mediocre naval books that outlined the careers of Admirals such as Shovell and Duncan.
Often these kind of books can be excessively scholarly or the other extreme (as in Styles case) badly researched.
I would like to recommend John Toohey's 'Captain Blighs Portable Nightmare' but with the comment that these books always strike me as an uncomfortable cross between fact and fiction. I don't get as absorbed as I do by pure fiction and yet the factual element leaves me cold.
But a good biography like one of Tom Pococks... that is what historical reading should be all about. A good one of his to start with is 'Remember Nelson' or perhaps 'A Thirst For Glory'. The Admiral Nelson biography, although supplanted today by more detailed historical sources, is still one of the best accounts of the mans life.
On balance I would make the following suggestions for a good historical reading experience.
1. Buy Lord Thomas Cochranes 'Autobiography Of Seaman.' reads like a piece of fiction but is entirely true and for the most part (when at sea) very entertaining. Like an Errol Flynn movie brought to life.
2. A good biography like 'Thirst For Glory' is an eyeopener.
3. A pure fiction historical novel book is often by far better written than the factual novel type. As a Patrick O'Brian fan I implore you to try 'Post Captain' or even 'Master and Commander'. Try this link to find out if you might like them...
http://www.wwnorton.com/forums/POB/POBforum.htm
Of course if you don't like water...