Just as Katherine of Aragon is my least favorite of Henry VIII's wives, Anne Boleyn is my favorite. This is largely due to Philippa Gregory's The Other Boleyn Girl, which not only tells the story of Anne Boleyn, but also her sister, Mary, one of Henry VIII's many mistresses, and their brother George.
I really enjoy The Other Boleyn Girl because it's not only an intense faux love story and affair, but it delves into the family relationships of the Boleyn siblings AND it's historical fiction where one learns about the politics and religion, and their relationship, during this portion of Henry VIII's reign. [holy run-on sentence!] Now, of course, given the subject matter and the character of Henry, who is constantly having affairs, it's not necessarily the most chaste book, but it is my favorite by Gregory and I highly recommend it!