"Arbella: England's Lost Queen" by Sarah Gristwood. A biography of the tragic life of Arbella Stuart, the woman who could have become Queen of England after Elizabeth I. I read this not long ago. It's almost as tragic as Lady Jane.
"After Elizabeth: The Rise of James of Scotland and the Struggle for the Throne of England" by Leanda de Lisle. A great book to help you make the transition from the reign of Elizabeth I to the Stuart age in England.