This is one of my favorite sub genres of literature. It has two main strands: the Historical strand such as Yenne's A Damned Fine War (Patton lives, the U.S. and the U.S.S.R. go to war in 1945) and the Science Fiction strand such as Turtledove's World War series (aliens with 20th century tech invade during WW II)
There are also a few fantasy works in this area, Turtledove has a series in this area.
(by the way Turtledove is by far the largest producer of alternate history. He has at least three different alternate universes, one historical The Great War Series, one fantasy and the Sci Fi World War series. He also wrote the book The Guns of the South which really ignited the recent popularity of alternate history books.)
Most of the offerings in these areas are superb. S.M. Stirling's Nantucket series is very highly recommended, as is pretty much everything by Turtledove. Flint's 1632 universe is very well done. The research is extensive and much attention is given to historical detail.
Forstchen's Lost Regiment series isn't really alternate history, and has some pretty gruesome and graphic violence, but was a "can't put down" series for me.
H. Beam Piper's Lord Kalvan is a great read. (so is his Fuzzy Sapiens stuff)
I'm leaving tons out, but here is a great reference site to dive into alternate history: Uchronia