Outlander by Diana Gabaldon is a fiction book that has been lauded for it's incredible historical accuracy. I learned a lot about Bonnie Prince Charlie and the battle of Culloden. And the whole time I was so wrapped up in what a great story it was, I didn't even realize I was learning.
The same is true for The Bronze Horseman by Paullina Simons. Reading it, I learned so much about Russia during WWII. It helped me understand communism and the pure evil that was Stalin.