My personal research collection is huge and ever-growing. I buy new sources for every new manuscript I start. I can't walk by a used bookstore without casually strolling in and checking out their history section. And I never go to Portland without blocking out several hours for a trip to Powell's. I've even taken day trips there, at least a three-hour drive each way, for the sole purpose of a pilgrimage to the City of Books.
Yet there are a few sources I keep going back to, manuscript after manuscript:
Life in Wellington's Army, by Antony Brett-James. An indispensable book for anyone using the Peninsular War as a setting or as part of a character's backstory, packed with details of everyday life.
Redcoat: the British Soldier in the Age of Horse and Musket, by Richard Holmes. Covers a much wider time range, but also good for everyday life and the logistic and bureaucratic constraints soldiers lived under.
Swords Around a Throne: Napoleon's Grande Armee, by John Elting. Everything the first two books give you for Wellington's army, this one covers for Napoleon's.
Life in the English Country House, by Mark Girouard. I always go back to this book to figure out how to house characters from the gentry and aristocracy. Full of information on everything from medieval castles to Victorian country houses.
Jane Austen: the World of Her Novels, by Deirdre Le Faye. Illuminates all sorts of details of genteel Regency life by explaining what Jane Austen and her characters ate, how they traveled from place to place, what they wore, how they amused themselves, etc.
In the Family Way: Childbearing in the British Aristocracy 1760-1860, by Judith Schneid Lewis. Got a pregnant character in your Georgian, Regency, or Victorian novel? This book will tell you what she expected, and what was expected of her, when she was expecting.
English Women's Clothing of the Nineteenth Century: A Comprehensive Guide with 1,117 Illustrations, by C Willett Cunnington. What the fashionable heroine wears, and how she wears her hair, from 1800-1899.
English Society in the 18th Century, by Roy Porter. (As is often the case, Porter's 18th century includes the early years of the 19th because of political and cultural continuity. It's often referred to as the Long 18th Century.) Lots of detail about everyday life at all levels of society.
Lobscouse and Spotted Dog: Which It's a Gastronomic Companion to the Aubrey/Maturin Novels, by Anne Chotzinoff Grossman and Lisa Grossman Thomas. A mother-daughter team cook their way through the Aubrey-Maturin series, as authentically as possible. Great fun to read, and a good source for the kind of food your Regency characters would eat, especially the "Jack Ashore" chapter.
That's my list. What are your favorites?