Lindsey Davis
The Falco series:
Lindsey Davis' Marcus Didius Falco, an imperial informer, is smart, funny and has an overbearing mother, a dishonest papa and a lovely wife, the daughter of a senator. The characters grow from one novel to the next, which I consider to be an extremely important measure of a series' success. The plots are interesting, frequently humorous, well researched and would be enjoyable not only for ancient history buffs, but for anyone who enjoys a good mystery.
Silver Pigs: A Detective Novel in Ancient Rome (1989)
Shadows in Bronze (1990)
Venus In Copper: A Marcus Didius Falco Novel (1991)
The Iron Hand of Mars: A Marcus Didius Falco Mystery (1992)
Poseidon's Gold: A Marcus Didius Falco Mystery (1993)
Last Act in Palmyra (Marcus Didius Falco Mysteries (Paperback)) (1994)
Time to Depart (Marcus Didius Falco Mysteries (Paperback)) (1995)
A Dying Light in Corduba (Marcus Didius Falco Mysteries (Paperback))(1996)
Three Hands in the Fountain (Marcus Didius Falco Mysteries (Paperback)) (1997)
Two for the Lions (Marcus Didius Falco Mysteries (Paperback)) (1998)
One Virgin Too Many (1999)
Ode to a Banker (Davis, Lindsey. Falco Series.) (2000)
A Body in the Bath House (2001)
The Jupiter Myth (Marcus Didius Falco Mysteries (Paperback)) (2002)
The Accusers (2003)
Scandal Takes a Holiday(2004)
See Delphi and Die (2005)

Steven Saylor
The Roma Sub Rosa Series:
The quintessential Roman detective series. This series is expertly written, richly detailed, true to chronology and unputdownable. Every novel leaves you wanting more, every short story is crafted meticulously. Gordianus grows and ages with each new story. His family suffer and some die, so it is difficult not to take part in his life. Can you tell I'm a big fan?
Roman Blood : A Novel of Ancient Rome (A Novel of Ancient Rome)
The House of the Vestals : The Investigations of Gordianus the Finder (A Novel of Ancient Rome)
Arms of Nemesis : A Novel of Ancient Rome (A Novel of Ancient Rome)
Catalina's Riddle
The Venus Throw : A Mystery of Ancient Rome (A Novel of Ancient Rome)
A Murder On The Appian Way : A Mystery Of Ancient Rome (A Novel of Ancient Rome)
Rubicon : A Novel of Ancient Rome (A Novel of Ancient Rome)
Last Seen in Massilia : A Novel in Ancient Rome (A Novel of Ancient Rome)
A Mist Of Prophecies : A Novel Of Ancient Rome (A Novel of Ancient Rome)
The Judgment of Caesar : A Novel of Ancient Rome
A Gladiator Dies Only Once : The Further Investigations of Gordianus the Finder (Gordianus the Finder)

David Wishart
Marcus Corvinus Mysteries
***Some of the titles are currently not available in the U.S. You can check Amazon in The U.K. if you've got a jones for Marcus Valerius Corvinus .
This wise-cracking purple striper gets on my nerves sometimes, and the character development over the course of the series has been nil; however, the books are quite fun and he either has a very, very deep knowledge of the details of ancient Rome or he wings it well enough to fool even me.
Ovid (1995)
Germanicus (1997)
The Lydian Baker (1998)
Sejanus (1998)
The Horse Coin (1999)
Old Bones: A Marcus Corvinus Mystery (2000)
Last Rites: A Marcus Corvinus Mystery (2001)
White Murder: A Marcus Corvinus Mystery(2002)
A Vote for Murder (2003)
Parthian Shot (A Marcus Corvinus Mystery Ser) (2004)
Food for the Fishes (2005) 

Colleen McCullough
Masters of Rome Series
If you want an introduction to the world of ancient Rome, or if you are already an expert, nothing is better than Collen McCullough's series. An achievement of research and elegant writing, this is the one that will stay with you forever.
The First Man in Rome
The Grass Crown
Fortune's Favorites
Caesar's Women
Caesar: A Novel
The October Horse : A Novel of Caesar and Cleopatra

John Maddox Roberts
The SPQR series featuring Decius Caecilius Metellus is famous for urban intrigue. Its the series that all ancient Rome buffs talk about, or at least the ones I know.
SPQR I: The King's Gambit
SPQR II: The Catiline Conspiracy
SPQR III: The Sacrilege
SPQR IV:The Temple of the Muses
SPQR V: Saturnalia
SPQR VI: Nobody Loves a Centurion
SPQR VII: The Tribune's Curse
SPQR VIII: The River God's Vengeance
SPQR IX: The Princess and the Pirates 