I’d say stick with the Cochrane, then start on Aubrey/Maturin. That way you can recognize which parts O’Brian was diverging from/playing with – after all, he was familiar with Cochrane’s life story before Aubrey’s!
I started to read the first Aubrey/Maturin book and soon lost interest: O’Brien seemed to me to be more interested in showing off his knowledge and research than advancing the story.
Kristin Lavransdatter is the name of a trilogy of novels about a woman’s life in medieval Norway. It has the gritty details of everyday life and death right, and I thought the characters seemed quite real.
It was written a Norwegian woman, Sigurd Undsett(who won the Nobel prize for literature - I’m not sure they mean all that much, but still), whose father was an archaeologist. She studied the time period she wrote about and brought it to life.
The Aubrey/Maturin novels can be an acquired taste at first (and the second book in the series is substandard- it was described to me as “Jane Austen on the high seas” before I read it- but work your way past it) but it’s worth the effort to get used to O’Brien’s style of writing.
I have always enjoyed Clavell as well, sorry about that! My lowbrow side is showing!
Patrick O’Brien is an interesting character himself- a totally made up fiction. He was in reality a fairly nondescript man with a family who longed for something different, so he took off and reinvented himself.
How about *The Winds of War *and War and Remembrance by Herman Wouk? They are very accurate with the WWII history.
The first one is quite heavy on the jargon, but once you get to, say, The Fortune of War, which is practically all character/plot and no technical stuff, it hardly matters.
I found Master and Commander when I was a kid working in the library and never looked back. 
Does anyone know how accurate the espionage stuff is? One would think that O’Brian woud be accurate in every subject.
On the Patrick O’Brian listserv I used to hang out on, we had an actual retired CIA man. He said the espionage stuff wasn’t historically accurate at all – given the state of communications at the time, it was simply impossible to have an operation like Sir Joseph Blaine’s that could actually accomplish anything. By the time you knew what the situation was on the other side of the world, and sent somebody off to deal with it, things would have totally changed.
To me that’s half the fun, and a lot of the tongue-in-cheek appeal: finesse the plots he may, but he never distorts history in doing so - if you check the timeline of, say, Flashman At the Charge, you figure out that it was theoretically possible for someone to stand with the Thin Red Line, charge with the Heavy Brigade and still be in at the Charge of the Light Brigade. Highly unlikely, but definitely possible.
Religion is sadly neglected in historical fiction, which is a crying shame considering how much drama, tragedy, and triumph have surrounded religions, their followers, and their clashes. I think that because today (in some parts of the world) people are accoustomed to religion having a minor or nonexistent role in their day-to-day lives, authors forget that religion was a HUGE part of life in past ages. There was literally no part of life that was not affected by religion in some way, shape or form. From the moment you were born, religion dictated whether you were baptisted or circumcized, who and how you married, whether you ate pork or drank wine, whether you wore a cross or a kippah. Religion wasn’t something that got a few day’s lip service on a holiday, and then was promptly forgotten about for the rest of the year. It wasn’t something held apart, but was woven into the fabric of everyday life, as commonplace and familiar as clothing or food or water.
Another thing authors seem to forget is that medieval people didn’t separate politics and religion. It was perfectly natural to them that the two be united. The Crusades, for example, were motivated by politics married with vehement religious sentiment. Also, religion need not be stuffy or boring. The Middle Ages was a period of intense religious feeling, with such memorable happenings as the Cathars, the Baltic Crusade to wipe out paganism, fiery religious leaders like Thomas Becket, Bernard of Clairvaux, or Peter the Hermit.
I’m currently reading Andrew Miller’s first novel Ingenious Pain, set in the 18th century, about a boy who grows up to become a famous physician. It’s a brilliant book - Miller not only has all the historical details down pat, but he also manages to evoke the whole mindset of the Age of (supposed) Enlightenment - The operation was a success even though the patient died screaming in agony; human oddities as sideshow freaks; scientific explorations and discoveries made possible by unethical experiments, and so on. Fascinating.
In reply to Mississippienne, Kristin Lavransdatter, the trilogy I recommended above includes religion as a driving force in the character’s lives, (as well as lust, drive for power, ego. all the normal things) and, again, in a realistic way, I think.
Sorry for jumping in again for this second plug. It really is one of my favorite books ever.
I swear I posted this last night, but it’s nowhere to be seen.
Recommended: Knight With Armor, by Alfred Duggin. Very gritty, unglamorized depiction of an impoverished young 11th Century knight in the First Crusade, from England to Jerusalem. Provides perhaps the most realistic description I’ve read of an individual’s experience in medieval warfare.
Not recommended: The Blind Knight; can’t remember the author, but I’ll recognize the bad writing if I see it again. It has fantasy elements, but is set in 12th Century France. Not only do the characters not act like medieval people, they don’t act like any real people. Everybody talks in what sounds like a bad attempt at Elizabethan English (e.g., they keep saying “whyfore”, which I assume should be “wherefore”). To be fair, I didn’t finish the book, so maybe it improved tremendously in the second half.
Just chiming in to second a few for accurate feel:
- The Masters of Rome
- An Instance of the Fingerpost
- I, Claudius and Claudius the God
And want to add:
- The Killer Angels by Michael Shaara - about Gettysburg; couldn’t see it mentioned in earlier posts. If it was, sorry. Generally considered one of the best civil war novels.
- The Alienist by Caleb Carr - say what you want about the murder thriller plot, but I really felt like I was in 1896 Manhattan; it felt meticulously researched.
- The Name of the Rose - I was under the impression that Eco researched this one well and captured the feel of a 12th century monastery.
Well, not stoned, but I will gasp and throw an angry glare your way. 
(Besides, how can you say that this close to the release of A Breath of Snow and Ashes)
I don’t think her books are meant to be historial fiction. They’re in a historical setting, and she must have done research, but the story is Jamie and Claire, not Culloden or Jamaican plantations or the Revolutionary War.
I love the Outlander books, but I really, really wish that she would stop saying how great Claire’s ass is, and how visible it is through her dress. It’s the frigging 18th century! They didn’t do clingy clothes, especially not skirts!
/minor nitpicking hijack
For good historical fiction, I recommend The Silver Branch, Eagle of the Ninth, and The Lantern Bearers, by Rosemary Sutcliff. They’re children’s books, but they’re very well written, and I’ve been told that they’re very historically accurate. Certainly they feel like listening in on the lives of Roman Britains.
Jeff Shaara has written 2 sequels to The Killer Angels, his father’s book. They are *Gods and Generals * and The Last Full Measure. He also has written 2 books about the American Revolution. They are *Rise To Rebellion * and The Glorious Cause. He has also written a sort of prequel to the Civil War books called Gone For Soldiers, which covers the Mexican War of 1845-46. Many of the characters that later became famous in the Civil War are seen at an earlier point in their military careers.
One other book of his is worth mention. It is set in World War I and called To The Last Man. All of these books are well worth reading and place the protagonists firmly and authentically within their cultural milieu.