Depends on the era:
Here are a few I watched recently:
The Pillars Of The Earth - TV series set during The Anarchy (1135-1153). It's based off a book which has also been made into a very good video game.
Sharpe - it's a fairly famous TV series set during the Napoleonic Wars: I highly recommend it if that's an era your interested in
The Terror (Season 1) - the show is actually American but the actors and characters are British and it does display a small part of British history: the lost Sir John Franklin expedition and the search for the Northwest Passage.
Four Feathers - the movie is set during the Mahdist War in the Sudan. There's actually several movies with this story as the plot, but the two I'd recommend are the 1939 version and the 2002 version (the 2002 one has Heath Ledger, so there you go).