I never liked Romeo and Juliet, and never found a joke in Twelfth Night. I do, hovever, like Shakespeare's histories. Now Shakespere was about as historically accurate as the Lord of the Rings, but he wrote it well. Best of all were Richard II, Henry IV Part I and II, and Henry V. The BBC have done an excellent production, which for a short time will be on iplayer. I reccommend watching.
Shakespeare also wrote about Edward III, Henry VI, Henry VIII and others. these are less well known, but are nonetheless interesting plays. Everyone knows Richard III, and is rightly celebrated, but John is also good one, if a lot less well known.
There are also Anthony & Cleopatra and Julius Caesar, as well as the Scottish Play, as actors call it. No not Ivanhoe you numpty, Macbeth. I think you could technically call thse histories, but Macbeth is practically entirely fiction.
I am a big history buff, and I am really getting into the Middle Ages, after reading good books on Edward I and on Edward III and Henry IV.