Mary Gentle's Ash is a great read about a female mercenary captain. I am also hearing good things about her new tome 1610, but that is still sitting in my to-read pile. Ash is all about gritty realism, even though great magic and miracles are present in the world during the later parts of the novel. Ash can is found as either a single, massive book or as three separate novels.
If you do not mind fantasy/alternate history crossovers, you might enjoy Kim Newman's Anno Dracula and follow-ups such as The Bloody Red Barron.
Also Paula Volsky's Illusion if you want an extremely-alternate and fantastic take on the French Revolution.
I found Kim Stanley Robinson's Years of Rice and Salt quite a let down. It had so much potential, but even though you keep coming to points in the story where you think things are going to turn around and actually become interesting, the thread is lost and you find yourself reading about some useless piece of trivia and still not caring about the story or the characters. It is a great concept but failed utterly on execution, which is a shame because I think he can do much better.