For my money, the Flashman novels -- which, should a vengeful deity have left you unaware of them, concern the exploits of rogue, satyr, and coward Sir Harry Flashman, V.C. -- are the way to write historical fiction. Rather than regurgitate his research into tiresome expository passages (although Fraser was constitutionally incapable of writing tiresome passages), Fraser provides footnotes to the novels, often in a tone deploring the attitudes and historical arguments of his protagonist.
Of course, my selfish reaction to the news is consternation that I shall never get to see Flashy Reb or Viva Flashman! -- Flashman's exploits in the American Civil War and the Maximilian Intervention in Mexico being running gags to rank with the giant rat of Sumatra or Wilson the canary-trainer. But I should rather be glad that I got introduced, via Flashman, to the British invasion of Abyssinia in 1868, to the Central Asian wars of the 1850s, the First Sikh War, and the Tranby Croft Scandal, to name four episodes of nineteenth-century history I first stumbled across in Fraser's pages. Even on topics I knew quite well, Fraser and Flashman found plenty to tell me, and neither one ever, ever bored me.