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Art of War goes w/o saying as well...

I second the master and commander series. I read all 21. Amazing.

When you're sick of hearing his name and you want more than the wikipedia entry go read "On War."

1776 is a classic.

Have read these and enjoyed these: General Warfare theory: History of Warfare by Keegan

"The Last Lion" books 1 and 2 are about Churchill and they involve lots of military strategy.

The Last Lion - Churchill

"Blind mans bluff" is a great book about submarine warfare.

"Ghost Wars" by Steve Coll.

Intel: Intelligence and War by Keegan

If you're hungry for more dig into "The Civil War" by Shelby Foote is hefty but it's satisfying.

For a really enjoyable experience read "The Great Game" by Hopkirk first.

"The gathering storm + the other six books Churchill wrote on WWII.