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Classic Occidental works:
Among the ancients, Thucydides and Polybius offer truths which apply to many times and places.
In the modern canon, Machiavelli's Discourses is a good work on the overall relationship between war, politics, and government.
Recent works:
Strategy, by Basil Liddell-Hart, offers a controversial but stimulating survey of Western military history, along with some interesting chapters on strategic theory.
Arnold Toynbee's A Study of History is a work both broad in view and profound in analysis. The two-volume abridgement by D.C. Somervell is an accessible read, preserves Toynbee's main argument intact, and is widely available in public libraries.
John Keegan's Face of Battle is a must-read. Keegan also wrote the best single-volume history of WWII, but avoid Keegan's history of World War One, which is a work quite inferior to his others.
Kennedy's Rise and Fall of the Great Powers is still very much worth reading, although perhaps no longer as topical as when it was first written.
More on World War Two:
Overy's Why the Allies Won and Toland's Rising Sun are good.
Glantz' When Titans Clashed is one of the better works in English on the Eastern Front. If you have the stomach for a lot of detail and you're not particular about writing style, then also have a go at Glantz' Colossus Reborn for a look at how the Soviets rebuilt their shattered armies in the midst of war.
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