I echo SAF. Sharon Kay Penman is a brilliant writer. Run, don't walk, to the bookstore, grab a few, then settle back for an excellent read.
If you are into the Arthur/Merlin/Knights of the Round Table thing, the absolute best writer for this story is Mary Stewart. She did four books* on Arthur, through the eyes of Merlin. The interesting thing is that she portrays Merlin not as the wizard with the pointy hat and heaps of magic tricks, but a learned and wise man, with but bit of magic. Most of the 'magic' attributed to him is the result of his advanced learning. This is by far the most believable story about Arthur and Merlin that I've read (and I've read loads of them).
If you are looking for a history book, I would recommend Barbara Tuchman's A Distant Mirror: The Calamitous 14th Century. This covers life in the 14th century and such events as the 100 Years War, the Black Death, the schism of the Roman Catholic church, the Crusades and various other topics. Whilst more a history book than a story, her history parallels the life of an obscure French nobleman named Enguerrand de Coucy. Might be a bit of dry reading for those not truly into medieval history, but I found the book fascinating.
I've also enjoyed a book called Baudolino by Umberto Ecto. The book is an irreverent look at the Middle Ages through the eyes of a consummate liar named Baudolino. Whilst the book is a work of fiction, it does cover some true events and real people (ie The Holy Roman Emperor, Frederick Barbarossa). Bits of it are very funny and quite cheeky.
The Crystal Cave, The Hollow Hills, The Last Enchantment and The Wicked Day