Woohoo, thanks for all the suggestions!
I will concur with FP's recommendation on Ken Follet's Pillars of the Earth (brilliant) and World Without End (which is a semi-sequel - a little "the same" but still very good).
I'm going to try out some Philippa Gregory and Frank Moorhouse first up, then go through some of the others. I did try War & Peace when I was at school, but didn't really have the patience for it then.
FP - you mention Jean Plaidy - have you read any of her "writing as Philippa Carr" books? The series is referred to as "Daughters of England" and the first one is set in Henry 8th's time, each following book is written by the next generation.