Research should always move from the general to the specific. While most romances do not greatly touch upon political events, it is a good idea to read a general overview of the era you have chosen as a setting for your story. This enables you to gain a basic knowledge of that era, which will become a basis for all of your future research.
Try history books like
Mike Corbishley et al. The Young Oxford History of Britain and Ireland. Oxford: Oxford UP, 1998.
Barry Cunliffe et al., eds. The Penguin Illustrated History of Britain and Ireland. Rev. ed. London: Penguin, 2004.
Paul S. Boyer et al. The Enduring Vision: A History of the American People. 3rd ed. Lexington, MA: Heath, 1996.
Once you've got a general idea of the political history of the time, you'll need to find out what the everyday life of people was like. Things you should research include
architecture and housing (what did the houses look like? what was the set-up of a castle or of a Regency town house? how was an estate run?)
“Research is formalized curiosity. It is poking and prying with a purpose.”
~ Zora Neale Hurston
fashion (things to wear for your heroine and hero!)
food (what kind of food was available for normal people / for the nobility? how was it served? how was it eaten?)
entertainments (what did people do in their leisure time? where there fairs or parks? what kind of games were played?), etc.
There are overviews of various eras of history which were written specifically for writers. These books contain articles on various subjects (food, fashion, shopping, etiquette, etc.) and bibliographies listing further relevant literature. Thus they can be used as starting points for your further research, e.g.
The Writer's Guide series from Writer's Digest Books, ranging from Sherrilyn Kenyon's The Writer's Guide to Everyday Life in the Middle Ages: The British Isles from 500 to 1500 (1999) to Marc McCutcheon's The Writer's Guide to Everyday Life from Prohibition Through World War II (1995)
Sharon H. Laudermilk and Teresa L. Hamlin. The Regency Companion. New York: Garland, 1989.
It is also relatively easy to find books on specific subjects, e.g.
on architecture and housing: Christina Hardyment. Behind the Scenes: Domestic Arrangements in Historic Houses. London: National Trust, 1997.
on fashion: C. Willett Cunnington. English Women's Clothing in the Nineteenth Century. 1937. New York: Dover, 1990.
on food: Jane Pettigrew. A Social History of Tea. London: National Trust, 2001.
on entertainments: Catherine Perry Hargrave. A History of Playing Cards and a Bibliography of Cards and Gaming . 1930. Mineola, NY: Dover, 2000.
Try to go for books with many illustrations: these will help you to visualize settings and objects; e.g.
books which were published by museums (e.g. the V&A in London) and which highlight specific parts of their collections. These books usually contain many photographs.
children's books like the See Through History series or the Eyewitness Guides: they contain many, sometimes very detailed illustrations with easy explanations
guidebooks on specific castles or stately houses (neat for creating your hero's manor house)
Another good way to get an impression what life at a specific time in history was life, is to look at primary sources, e.g. literature, letters, and memoirs, but also cookbooks, travel guides, etc. from that specific time.