One of the joys of writing historical fiction is the historical research it requires.

I write about the Regency because I love to read about the Regency, in fiction and non-fiction.
Here I list some of my favourite research books in the hope that
they will enhance your Regency romance reading experience.

There are innumerable books about Jane Austen, her times, her life, and her world. 
Following are two of the best:

Jane Austen: Her Life by Park Honan
0-449-90319-2 trade pbk, 1987, Fawcett Columbine

Jane Austen In Style by Susan Watkins
0-500-27900-4 trade pbk, 1990, Thames & Hudson
previously published as Jane Austen's Town and Country Style

There are many other good books with an Austen touch:

Jane Austen's England by Maggie Lane
0-7090-3709-0 trade pbk, 1989, Robert Hale Limited

Jane Austen and Food by Maggie Lane
1-85285-124-4 hc, 1995, The Hambledon Press

Jane Austen's Christmas by Maria Hubert
0-7509-1307-X trade pbk, 1996, Sutton Publishing

Jane Austen and The English Landscape by Mavis Batey
1-55652-306-8 hc, 1996, Barn Elms Publishing

The Wit and Wisdom of Jane Austen ed by Michael Kerrigan 
ISBN 1-8702-601-2 hc Fourth Estate Ltd.

Austen Country by Tom Howard
ISBN 1-85627-783-6 hc Grange Books

The Jane Austen Cookbook by Black & Le Faye
1-55652-242-8 hc British Museum Press

The World of Jane Austen by Nigel Nicolson
ISBN 0-75380-017-9 Phoenix Illustrated, Orion Pub.

The History of England by Jane Austen
Penguin Classics

Catharine by Jane Austen
Penguin Classics

About the Napoleonic Wars:

Die Hard! Dramatic Actions from the Napoleonic Wars
by Philip J. Haythornthwaite
ISBN 1-85409-447-5 pbk Arms & Armour Press/Cassell

Uniforms of Waterloo by Haythornthwaite, Chappell and Cassin-Scott
ISBN 1-85409-394-0 pbk Arms & Armour Press/Cassell

There are likewise many books about the Regent of the 'Regency', and his times. 
These two titles are good starting points:

The Prince of Pleasure and his Regency 1811-20 by
J. B. Priestley  Sphere Books, trade pbk, 1971

George IV: Regent and King 1811-1830 by
Christopher Hibbert  hc, Allen Lane, 1975 

More general history of the period is found in:

Years of Victory 1802-1812 by Arthur Bryant
London, Collins, 1945 hc

The Age of Elegance 1812-1822 by Arthur Bryant
London, Collins, 1950 hc

The Rise and Fall of a Regency Dandy:
The Life and Times of Scrope Berdmore Davies by T.A.J. Burnett 
ISBN 0-19-285124-1 pbk Oxford University Press

A Residence at the Court of London by Richard Rush
ISBN 0-7126-1780-9 Century Hutchinson

For views of the Regency world, try:

Britain Portrayed: A Regency Album 1780-1830 by John Barr
0-7123-0174-7, hc, 1989, The British Library

Regency England: The Great Age of the Colour Print
by Reay Tannahill, The Folio Society Limited, 1964 hc.

Mrs. Hurst Dancing and Other Scenes from Regency Life 1812-1823
by Gordon Mingay with original watercolours by Diana Sperling.
ISBN 0-575-03035-6 hc London, Victor Gollancz Ltd., 1981

Life 'below stairs' is well documented:

The Complete Servant: Regency life below stairs
by Samuel & Sarah Adams, Butler & Housekeeper  
1-870962-09-5 trade pbk, 1993, Southover Press

The Housekeeping Book of Susanna Whatman
ISBN 0-7126-1755-8 National Trust Classics

About Regency Architecture:

Architectural Drawings of the Regency Period: 1790-1837 by Giles Worsley
ISBN 1-55835-044-6 hc Americn Instit. of Architects Press

London's Georgian Houses by Andrew Byrne
ISBN 0-9511459-0-8 pbk The Georgian Press