Johnny, all of the translations I mention include good introductions setting the work in context and they also all have glossaries which explain difficult terms or individuals who would have been known at the time.
If I may, I think the best way to go about this if you are seriously interested is to read a general guide (Life in Ancient Rome, the Roman World, or another good one) along with the primary sources from that period. That will illuminate the source problems whilst also keeping the narrative straight.
Another general guide which is a bit of a slog, and somewhat dated, but good on narrative, and covering what is generally considered the ‘core’ period of Roman history, is ‘From the Gracchi to Nero’ by Scullard.
If you’d like to know more about ancient warfare spesifically, Greece and Rome at War by Peter Connoly is a must-read. Goes through military equipment, tactics, strenghts and weaknesses, as well as detailet descriptions of selected battles. And It’s packed with ilustrations too. This guy knows his stuff.
Otherwise, I can only offer my university curriculum:
Marcel Le Clay, J.-L. Voisin & Y. Bohec: * A History of Rome *
Craige B. Champion (red.) Roman Imperialism: Readings and Sources
Peter Garnsey & Richard Saller *The Roman Empire: Economy, Society and Culture
*
All of the pretty decent, as they go.
On the military side of things, I like just about everything Goldsworthy has done, most particularly the one with the pictures! When it first arrived I was dismayed that I had ordered a fluffy coffee table book, but the writing combined with the pictures results in a phenomenal volume. I can’t see it on Amazon though, so I’ll get the ISBN for you later. I’ll also recommend Liddell Hart’s Scipio Africanus. The writing is dated and the book has a (somewhat bizarre) agenda, but it is enjoyable and a nice introduction to the person behind a still-famous name.
A well-annotated Decline and Fall is a good thing to have. The narrative itself is ponderous and occasionally horseshit, but the footnotes can lead you to the original sources and then you can judge for yourself.
I’ve read through Gibbon’s decline and all – it’s neither a quick nor an easy read. But it’s worth it, if you’re determined and want to know more about the later Empire than you usually encounter.
I second the reading of Penguin classics – they give you a flavor of the past you can’t get elsewhere, and they’re generally pretty well introduced and footnoted. For things not covered in the Penguin editions, and if you’re serious, get hold of the Loeb Classical Editions, small hardcover editions of the classical works with original Greek or Latin and the translation on facing pages. You can find a lot of works not in other translations this way, and they’re extensively footnoted. You can order online, but if you’re in Cambridge Mass (or a few other lucky places, like in Princeton NJ) you can buy them off the shelves at Harvard University Press or some college bookstores.
Read Lucian’s works if you can – he’s hilarious, and topical. So is the epigrammist Martial (if he’s translated well).
Other works – I’ve recently suggested Michael Grant’s The Twelve Caesars. His other books are good, too.
Edith Hamilton’s The Roman Way has been in print forever, and is a good introduction to Roman culture.