I liked the ICE Rolemaster/Hero system historical supplements mentioned by cdm. Nice potted histories and good ideas for campaigns in those settings, including ideas for fantasy/historical crossovers (I've always wanted to try some of the crossover ideas from the Pirates book in particular).
The GURPS supplements are generally good as well, but seem to have a bit more DIY elements.
I know that you are already keen on Call of Cthulhu - strip out the mythos, and it is a ready to play historical RPG! If you go with the original 1920s/1930s version, you have Prohibition, gangsters, African or South Seas exploration, gunrunning to the Chinese or Spanish civil wars, and so on, wherever your imagination takes you.
W