I'm currently reading, and can definitely recommend, 'In the Name of Rome: The Men Who Won the Roman Empire' by Adrian Goldsworthy. It deals with a series of Roman Generals from the Early Republic, through to the Eastern empire.
It's the first history book I've read since sturdying Classics GCSE but it's definitely a nice one to read alongside playing R:TW. I'm about 4/5 of the way through and it's been an enjoyable read, dealing with the likes of Scipio Africanus, Marius, Pompey, Julius Ceasar etc. He's very clear about his sources and talks about several aspects of the men's lives, focussing on their military prowess, the way they related to their men, their family lives and their political activities etc.