I recently finished the three-volume set of J.F.C. Fuller's A Military History of the Western World, and I simply cannot recommend it enough.
Vol 1:
Earliest Times til Lepanto
Vol 2:
Spanish Armada til Waterloo
Vol 3:
American Civil War til the End of World War Two.
Vol 2 was perhaps the least engaging of the three for me, given its understable English focus. It's all great, though. The End of World War Two Analysis is not something you'll be likely to read from any other Western source. I love Greco-Roman military history, and Vol 1 is a tour de force in the topic.