Jane Alison’s THE LOVE ARTIST tells the story of Ovid’s exile.
I second the recommendation for the Dorothy Dunnett series, particularly the Lymond series. There’s lots of research behind them and lots of witty erudite dialog. Francis Crawford of Lymond is an excellent anti-hero – smart, brooding, inhumanly talented and a right conscienceless bastard – he’s the Gregory House of the mid-1500’s.
Patricia Finney has written a trilogy of books – Firedrake’s Eye, Unicorn’s Blood, and Gloriana’s Torch – that capture Elizabeth’s reign pretty well. I didn’t care for Unicorn’s Blood as much, but the first and third are pretty compelling.
Neal Stephenson’s Baroque Trilogy is meticulously researched and contains about two books worth of interesting plot in a three book series. The rest is a series of diversions, digressions, and descriptions whose value you’ll have to decide for yourself.