I'm madly in love with Roland Auguet's "Caligula". It's an experimantal biography; the author sort of proves that what we know about antiquity is in fact very fragile, because we could just as well figure out an alternative interpretation of historical sources, and he gives Caligula as an example. So you won't find a traditional Bloody, Scary and Obscene story, but an attempt to show that this story might actually be false. Doesn't have to, but might, and we have absolutely no way to know.

Oh, and just in case you'd like a movie, I totally recommend Simon Schama's "Power of Art" (10 documentaries about famous painters, I've only seen 2 of them so far, but they were glorious).