If you like Roman history, you've got to check out Gibbons' History of the Decline and Fall of the Roman Empire. It's just a masterpiece. I flip through my copy of Meditations from time to time (actually, now I look at it on my Kindle, but I used to flip through my paper copy) and just pick out random quotes. A great work. "It is not the thing itself that disturbs a man, but the man's perception of and reaction to the thing. The thing may not be able to be changed, but a man's perception and reaction may be changed." I'm butchering that quote, but it's incredibly meaningful to me, and I try to reflect on it when things seem to be going wrong or I get inconvenienced.
While talking about classics, there's a lot of good philosophy out of copyright. Beyond Good and Evil and Thus Spoke Zarathustra aren't perfect works and I disagree with a fair bit of it, but there's some absolute jewels in them too.
Lately I've been looking for a decent electronic copy of Freud's Civilization and Its Discontents and Kierkegaard's Either/Or, but I've been having a hard time finding copies that are decently formatted and readable.
Also, got any other recommendations Staunch? I'm going to get Gallic Wars, and it seems like you and I have similar taste if you have other recommendations.