These books form my own reccomendations as to the best, most interesting alternative histories which have been published. Most are easily available, though some may require an out of print book search. I've found Glyn's Booksearch very good for this.

Non-Fiction

Virtual History: Alternatives and Counterfactuals
Edited by Niall Ferguson
The cutting edge of serious alternative history. A number of leading historians use alternatives to explore real history.

For Want of a Nail
Robert Sobel
A book which purports to be from an alternative history where the American Revolution was defeated. Cleverly done in the style of a history reference book, with a list of equally fictional references.

The Hitler Options
Edited by Kenneth Macksey
A series of essays by historians on choices Hitler could have made and the possible results of them.

Fiction

Fatherland
Robert Harris
Perhaps the most famous fictional alternative history, this novel was at the top of the bestseller lists for many months after its publication in 1993. The story takes place in Berlin in 1963, when Hitler's 75th Birthday is approaching, and a corpse in a lake leads to an incredible trail of corruption for one investigator...

Anno Dracula
Kim Newman
Perhaps the most fun alternate history novel! Newman takes as his "What-If" that Dracula defeated Van Helsing in 1882 and married Queen Victoria, transforming Britain into a neo-medieval Kingdom. He also takes the opportunity to include just about every real and fictional character of the period that he can. This is the Victorian London we'd all like to live in, where Oscar Wilde and Fu-Manchu rub shoulders with Inspector Lestrade and Bram Stoker.

The Difference Engine
William Gibson & Bruce Stirling
An excellent and unusual novel from authors whose remit is usually the near future. The point of divergence is the early 19th Century, where Charles Babbage's Analytical Engine is completed, and the Information Age begins more than a century early...