Thought about this the other day and was about to start a thread until I thought I'd see if someone else had. Lo and behold I find this!
Anyway, here are some of my favourite non-fiction books:
The World of Yesterday by Stefan Zweig (translated by Anthea Bell). Amazing account of Old Europe (mainly pre-WWI but also the inter-war years). Not only is it an amazing book to read for historical purposes, but you also realise why Zweig was the most translated author of the inter-war years. Fantastic writing style. This is the sort of book that changes your outlook on life.
Western Europe in the Middle Ages by Brian Tierny. Solid history book on how Western Europe changed from the Fall of Rome to the middle of the 15th century. You realise both the dynamism of the period and also the shaky foundations on which Europe rose. A hand full of events and characters changed and Europe may never have become what she was and would have turned into BumFuckistan instead. The author is also humorous at times, especially with regards to the plight of the peasants during the 100 Year War. He does have a slight Papal bias though.
Century of War: Anglo American Oil Politics and the New World Order by F. William Engdahl. Sure, there are some who might question Engdahl's conclusions and might therefore want to place this in the Fiction department, but regardless, as a Swed/German he does make an interesting counter-view to Anglophile history. You also get to see just how rotten the International Oil Trade really is.