Modern Works
Roman Britain - Historical Map and Guide
The Ordnance Survey
Sine Qua Non Togodumni Absolute! - GO AND BUY IT NOW!
Roman Britain
Peter Salway
Following Britannia by Sheppard Frere, which has perhaps been out-paced by modern discoveries, this is now the definitive work on the subject.
The Roman Imperial Army
Graham Webster
A superlative book, essential for the Roman military enthusiast. Mention should also be made of his excellent trilogy; The Roman Invasion of Britain, Rome Against Caratacus and Boudicca, which catalog the early military campaigns in lowland England and the foothills of Wales. Go and buy everything he's written!
Lempriere's Classical Dictionary
John Lempriere
First published in 1788, this 'immortal work' remains the essential reference for anyone interested in the classical era.
The Archaeology of Roman Britain
R.G. Collingwood
First published in 1930, this book was considered the standard work in its field. Now slightly dated, it still provides an excellent basis for the study of Roman Britain.
Chronology of the Ancient World
E.J. Bickerman
A book which deals with how the ancients measured and recorded the passing of time, which also gives superb chronological lists of Greek Archons, Persian Potentates and other Middle-Eastern rulers and of course, Roman Kings, Consuls, and Emperors. ACE!
Roman Britain a Sourcebook
S. Ireland
A concise collection of very nearly every passage from the classics which cite things British, and many epigraphic inscriptions from Britain which cover the entire period of Roman rule. If any other modern work on Roman Britain cites a Latin passage or inscription, the chances are that it will be included in this reference work. In a word, essential!
Roman Camps in England The Field Archaeology
Royal Commission on the Historical Monuments of England
Detailed maps of almost every Roman marching camp in the whole of England. Unfortunately, Wales and Scotland are not included, and I do not know of a similar work by either of the equivalent Welsh or Scottish agencies. Rather expensive, but well worth it!
Atlas of the Greek and Roman World in Antiquity
Nicholas G.L. Hammond
A collection of maps of the ancient Greek states and the later empire of Rome. These maps are well-researched, highly detailed and fully indexed. I have found them to be an invaluable reference, especially as a 'look-aside' to give extra visual understanding when reading of the Roman provincial campaigns in the classical histories.
I Claudius
Robert Graves
This novel and its sequel Claudius the God tells the inside story of the first imperial dynasty of Rome from the viewpoint of one of its members, the disabled Tiberius Claudius Drusus, step-grandson of Augustus, who himself rose from being the family embarrassment to become the fourth emperor of Rome. I cannot recommend these book enough!
Mention must also be made of the superb television series by the BBC, which is closely based on Graves' works and is available on BBC Video.
Mention must also be made of the excellent and diverse collection of small books in the Shire Archaeology series, which are very reasonably priced, and ideal if you want a 'quick hit' on a particular aspect of Romano-British life.
On the subject of historical novels, my own particular favourites include; Imperial Governor by George Shipway; the Aquila Romano-British adventure novels of Rosemary Sutcliffe; the excellent Grass Crown and other novels of republican Rome by Colleen McCullough; and in a lighter vein, the side-ripping, wise-cracking Falco Roman detective novels by Lindsey Davis. 
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The Classics
Parallel Lives
Plutarch
If you crave biographies of the main players in Rome during the latter days of the republic, including Caesar, Mark Antony and Pompey, then Plutarch is your man.
De Bello Gallico - The Gallic War
C. Julius Caesar
Written by the man himself, the last dictator of Rome. You have to read this!
De Vita Caesarum - The Lives of the Caesars
C. Suetonius Tranquillus
Anecdotal biographies of the first twelve Emperors of Rome. If you have no Roman history classics in your library, then this should be your next read.
Agricola
Cornelius Tacitus
Contemporary biography of the Roman Legate who subdued Wales and invaded Scotland, written by his son-in-law.
De Historia Augusta - The Augustan History
Various Authors
Along the same lines as Suetonius' earlier work, this tome was compiled during the mid-third century, and chronicles the lives of the later Roman Emperors, from Hadrian to Heliogabalus. A good sequel for those who have enjoyed Suetonius.
ΡΩΜΑΙΚΗ ΙΣΤΟΡΙΑ - Roman History
Cassius Dio
Although Dio is notoriously brief on detail, and writes in Greek, his work admirably tells the tale of Roman politics and military conquest, from earliest times to the middle years of empire.
Ab Excessu Divi Augusti - The Annals of Imperial Rome
Cornelius Tacitus
Perhaps the most important of the classical histories, packed with details on the politics and military campaigns during the early years of the Roman empire.
Epitoma Rei Militaris - Epitome of Military Science
P. Flavius Vegetius Renatus
The only contemporary textbook on the army of Imperial Rome, which was later to become the essential handbook on military tactics for every young prince in mediaeval Europe. An oft-quoted reference!
The Letters of the Younger Pliny
C. Plinius L.f. Caecilius Secundus
Gaius Plinius Secundus was the blood-nephew and posthumously-adopted son of the polymath Lucius Plinius, Pliny the Elder, who died during the eruption of Vesuvius which buried the Roman city of Pompeii [AD79]. The epistulae of the Younger Pliny were written to the most distinguished and learned men of his time, and include many correspondances with the emperor Trajan - under whom Pliny was made consul suffectus [AD100] - and also the historians Cornelius Tacitus and Suetonius Tranquillus. They are packed with amusing anecdotes and little asides, which give an excellent insight into the lifestyle of the senatorial class and the workings of the Roman burocracy. Recommended reading.
Astronomica
Marcus Manilius
My interest in astronomy stems from an early age, before my attraction towards Roman Britain, and this book, published in the first half of the first century AD, represented the epitome of Roman learning on the subject. This is a difficult read, but an excellent reference.
Many of these titles are available in the superb Penguin Classics series, but if you can afford them, the LOEB Classic edition should be sought, which give the text in the original Latin or Greek on the left-hand page, with the English translation on the opposing (right-hand) page. Vegetius is currently available from Liverpool University Press.
In addition to these, I suggest that the serious enthusiast also arm themselves with a Latin dictionary and perhaps a textbook on Latin grammar. I would personally recommend The Pocket Oxford Latin Dictionary, and The Revised Latin Primer by Benjamin Hall Kennedy, which is an excellent text for those who - like myself - were never taught Latin as a subject at school, and now feel the need to learn the rudiments of Roman oratory. 
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