Strategia e Tattica is the main reference for historicals. Ten minutes walk from the Termini train station. Lots of books, lots of 15mm, but also 28's. Resin scenery and they have their own ranges too, maily WW2 Italians iirc.
Some boxes with old stuff were you might find a bargain. *EDIT!* just found out they closed! apparently they moved and became Strategia Nova mentioned above.