"What historical or cultural RPG have you enjoyed most? Give details."
I suppose I'll have to talk about Call of Cthulhu again, as I've not really touched on any other 'historical' RPGs, and CoC's settings tend to be rooted in historical references, even dividing up different sections of the lore into the eras they take place in. There are a hell of a lot of historical settings to play in Call of Cthulhu, from Jazz Age America to Rome Empire Italy, and each offers its own unique look at how the mythos interacts with the world as well as how the world reacts to the mythos. I'll just take a quick look at my favorites.
The classic Call of Cthulhu setting takes place during Prohibition, shortly after the Great War has finished and the world is simultaneously reeling from the memory of machine gun fire while feverishly dancing the Charleston in one of the many dance clubs in the cities. Fashion exploded, and girls began rebelling against traditional Victorian dress; wearing more revealing clothing (for the time) and engaging in *gasp* casual sex. For visual and cultural reference, take a look at The Great Gatsby. Scenarios in the 1920s tend to focus on fear of the unknown, racial tensions, and a sinister explanation of the various excesses that has marked the decade, occasionally tempered by old-school book learning and academia.
Cthulhu Dark Ages brings a little bit of sword swinging back on to the tabletop. Not a great amount, of course, but for a period remembered often for its knights and war-making, there's obviously a good bit of good old-fashioned hitting to be had. This is an age where man feared the dark, the church was the solution to everything, and disease and sickness ran rampant. People still believed in faeries and monsters, so the skepticism of later eras rarely emerged.
An intriguing setting that I've only lightly wet my beak with, Rising takes investigators into the far reaches of space, potentially in a post-apocalypse where Earth has been lost and humanity sent into a stellar exile. Here is the opportunity to inject some horror sci-fi into games, pulling from films like Alien and Event Horizon to create jarring intersections between human and alien technology. With the tech increase, there are obviously different methods for investigators to deal with the alien threats of the mythos. The real issue instead becomes one of diplomacy, perhaps. Balancing amicability between the insectile Mi-Go and fungoid exiles of Yuggoth while maintaining one's humanity. Kind of like Star Trek meets Call of Cthulhu.
These are just a few options, and obviously historical accuracy in them is only as good as your GM's researching (or, in the case of Cthulhu Rising, their premonition) skills. However, if you're looking for a system that has mountains of lore pertaining to a specific historical period, you'll likely find it in Call of Cthulhu.