I just finished The Splendid and the Vile by Erik Larson about Churchill and his family during the Luftwaffe bombing of Britain during 1940-1941. Fantastic.
Other great books I've read by him are The Devil in the White City (about H. H. Holmes the serial killer during the 1893 Chicago World's Fair) and Dead Wake (about the sinking of the Lusitania). He writes nonfiction in a fictiony sort of way so you feel like you're reading a novel. Highly recommend his stuff if you're into history.
Lonesome Dove....i've seen the series a time or two, but never read the book. Even with having an idea of where it is going, it is still a very enjoyable read.