There's Historical Romance like Water for Elephants; where Jacob Jankowski, having experience a financial and familial loss during the Great Depression, runs away with the circus and falls in love...With
a circus performer named Marlena and an elephant named Rosie. I personally thought that the Marlena character was a bit weak and Rosie was just so easy to love.
There's Historical Fantasy like Abraham Lincoln: Vampire Hunter. Where magical, mythical, supernatural events are often involved in the retelling of real historical place / event. In Seth Grahame-Smith's book, Abraham Lincoln (real person) is plagued by the undead (supernatural) and realizes that vampires are using slave labor as a means for survival...
Alternate History (Speculative) which involve a real time and place but may or may not cover events that really happened, and the events of the future may or may not have been altered by the events of the story. The Mongoliad, follows the rise and spread of the Mongol Empire and tracks an order or European knights on their quest to stop the spread of the Mongol Hoard.
Children's Historical which may contain elements of other historical sub-genres and is used to teach/inform children about real historical events in away that the can find safe and/or relate-able. The Book Thief has a foot in Historical Fantasy as the story is narrated by Death, who is visiting Nazi Germany, and watching over an orphan named Liesel.
There's also historical mystery and crime, historical drama, fictional documentaries...A lot can be done with history if you're willing to think back to a simpler time and think outside the factual box.
Read any good historical fiction lately? What's your favorite era?