Cornwell's books are quick reads, O'Brian's are more meaty. So it depends what you are looking for that day. My all-time favorite historical fiction are the two series by Dorothy Dunnnett ("The Lymond Chronicles" and "The House of Niccolo", neither Napoleonic related), but people tend to either love them or detest them (which is often the sign of a good work of art). For fast-reads, I like the "Flashman" series (I tend to like books written with a distinctive voice; another good book in that category is "True Grit").