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

George IV: Inspiration of the Regency
Steven Parissien hc, St. Martin's Press, 2001

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 and some original accounts are 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 pbk Century Hutchinson

Voices from the World of Jane Austen by Malcolm Day
ISBN 0-7153-2379-2 hc David & Charles Limited

Captain Gronow: His Reminiscences of Regency and Victorian Life 1810-60
ed. by Christopher Hibbert
ISBN 1-85626-013-5 hc Kyle Cathie Limited 1991, many other editions available

Regency Etiquette: The Mirror of Graces (1811) or The English Lady's Costume
by a Lady of Distinction
ISBN 0-914-46-24-1 pbk R. L. Shep Publications 1997

The Miseries of Human Life by James Beresford
originally published 1806, many editions

Our Village by Mary Russell Mitford
originally published 1821, many editions

Diary of a Country Parson by James Woodforde
originally published ?, many editions

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 and Design:

Masterpieces of Wedgwood by Aileen Dawson
ISBN 0-7141-0531-7 pbk British Museum 1995

Design and the Decorative Arts: Georgian Britain 1714-1837 by Michael Snodin and John Styles
ISBN 0-8109-6618-2 V&A Abrams 2004

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

Georgian and Regency Houses Explained by Trevor Yorke
ISBN 978-1-84674-051-0 pbk England's Living History Series/Countryside Books 2007

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 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 and Her Gentlemen by Audrey Hawkridge
0-7206-1164-4 trade pbk, 2002, Peter Owen Publishers

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