We ran an entire Grecco-Roman campaign and it was a blast. The entire mythology of the region was there to play with, not just Greek and Roman, but any other culture the Roman empire had contact with: Egypt, Ireland/Scotland, North Africa, the middle east, the Norse, all of it.

With all of that in mind I have to say that the best source book I found was Bullfinch's Mythology.

We also had fun using the Internet for research. For example, I practiced my Google-Fu looking for maps of the Mediterranean world circa 500 AD (fall of the Roman Empire time), and printed several of out.

A gem we discovered doing that was that, map makers not having aerial photography available, the maps didn't always agree. One particular omission on one map was the entire island of Lesbos, which is at the eastern edge of the Mediterranean. Some maps had it, others didn't. So in our world it was an island that sometimes wasn't there: It faded and reappeared on an irregular basis.

Loads of fun, and a great piece of campaign flavor!