For the period, or on the subject?
Decline and Fall of the Roman Empire is a massive six volume beast that covers ~1400 years. The prose is very readable and narratively engaging, but the information is pretty dense, and it's easy to get sidetracked following a citation for the full version of a particular story or anecdote. It took me eight months to read, and I am a pretty quick reader. For the breadth and depth, I don't think there's a whole lot out there that can compare.
That said, you can very seldom go wrong with the classics. There's a lot of modern works out there, and textbook-type treatments, of course, but I personally find contemporary texts the most interesting and engaging. You get a firsthand account of how people long ago lived and thought.
Caesar, as referenced upthread with The Gallic Wars, wrote a lot about his campaigns. My personal favorites have been Plutarch's Lives of Noble Greeks and Romans, which is nominally about comparing the characters of selected pairs of Greeks and Romans, but gives you windows into the historical times they lived in as well, and though not Roman, Thucydides's History of the Peloponnesian War.
For a lighter treatment, I listened to and would recommend Dan Carlin's Hardcore History podcast series after seeing it mentioned on Hacker News several times. There's two great series about Rome, Punic Nightmares and Death Throes of the Republic. Carlin does a good job of really bringing to the fore that same kind of thing, I think, that gives a real sense of how the people at the time were thinking and feeling, and he's clearly passionate about history.
What really stands out to me is how little has changed. We really are just another chapter or two. Technology has advanced, but people and culture has really changed very slowly and so clearly builds on what came before. The West in general is still very much a blend of Roman culture syncretized with the Germanic tribes. It's really fascinating to me how incredibly similar people were thousands of years ago. They had very different belief systems and values, but otherwise it's staggering how you have all these thousands of years of very, very smart people doing different things for different reasons, and seeing how that led to our times, and how we're doing the very similar things right now and laying out the future for those who will come after us and one day, hopefully, read about us.
(Little things that struck me and I thought of while writing those posts: the class warfare in Rome with e.g. the Gracchi brothers, compared to our economic problems in the past ~150 years; the political environment in Athens surrounding the Sicilian Expedition, compared to that of our Iraq War; and the incredible courage it must have taken for people to stand in an orderly line and watch people run towards them screaming with swords in hand.)