For over a decade, one of my favorite settings for a game was a speculative fiction Victorian period (I’m not a big fan of the “steampunk” term.)  From Space: 1889 to Castle Falkenstein to Victoriana, I had some 19th Century campaign running until about 2006 (mostly because i started running Serenity — which is sort of like Victorian sci-fi, but with modern science…)

I tend to use a lot of actual history in these games — it’s actually why I went into history; I tend to heavily research things for games, from big issues and events down to the sorts of advertisements you would see, clothing styles, etc.  There are a few books I’ve found indispensable for a Victorian-period campaign:

“The Big Green Book” as I call it: Chris Cook & Brenden Keith’s encyclopedic British Historical Facts: 1830-1900. New York: St. Martins, 1975.  This covers the major laws, political figures in the various governments, the colonial administrators and ambassadors of HM Government through the Victorian period.

Byron Farwell’s Queen Victoria’s Little Wars.  New York: Norton, 1972.  This covers all of the major and minor wars of the period and is a good beginning source for understanding the personalities and events of the era.

Thomas Packenham’s massive The Scramble for Africa. New York: Random House, 1994.  The Indian subcontinent is always important, but after 1876, Africa is the real hot spot for exploration and adventure (and intrigue!) in the late Victorian period.  His wife, Valerie’s Out in the Noonday Sun is more concerned with the Edwardian period colonial administrators in the Far East, but it still has plenty of good material for a game.

Much of my campaign involves high intrigue and espionage, which means upper middle class and aristocratic characters — for that world, the best source I’ve found is Anita Leslie’s The Marlborough House Set.  New York: Doubleday, 1972.

Wolf von Eckardt, et.al. Oscar Wilde’s London. New York: Doubleday, 1987 covers the more bawdy side of life in the capital.

I’m going to also throw in a shameless plug for my The Smoke — a London sourcebook for the Victoriana game line and the less setting specific London sourcebook for the Imperial Age game line.

For the America of this period — the Wild West — the tremendous Aces & Eights RPG has all manner of intensive research on how cowboys made their money, what the Western society was like, and other than the alternative history aspect, easily lends itself to coopting for your campaign.