Gibbon often referred to 'instruction and amusement' as the benefits we can obtain from the study of history. The Romans surely derived 'instruction' from the prose works of Caesar, Cicero, Tacitus and so on, but what amusement did they get from prose?
We have two examples of Latin novels, Petronius' "Satyricon" and Apuleius' "The Golden Ass". We also have a number of Greek romance novels, mostly written under the Roman Empire.
In Aristotle and Poetic Justice, the second in Margaret Doody's Aristole Detective series, there is a subplot involving the gorgeously handsome slave, Korydon, who is searching for his equally gorgeous girlfriend, Kallirrhoe. They were free and living in Asia Minor when they first met, but were soon caught up in the upheavals caused by Alexander the Great's invasion of the Persian Empire. After lives full of incident (including attempted seduction and rape, shipwreck, capture by pirates and enslavement) they are finally re-united. As you might imagine, the whole thing is about as realistic as one of the Pirates of the Carribean films.
The misadventures of young lovers separated by unfortunate events,
but eventually brought back together unharmed, seems to have been a
favourite theme of Greek romance novels. Five have survived:
Chaireas and Callirrhoe by Chariton;
An Aethiopian Story by Heliodorus;
An Ephesian Romance by Xenophon of Ephesus (not to be confused with the historian Xenophon);
Daphnis and Chloe by Longus; and
Leucippe and Clitophon by Achilles Tatius.
B. P. Reardon has collected translations of the main romance novels still extant in his Collected Ancient Greek Novels, which also includes "The Ass" (a forerunner of Apuleius' The Golden Ass) and Lucian's True Story.
The Petronian Society Ancient Novel Web Page has online plot summaries of Greek romance novels.
Achilles Tatius' Leucippe and Clitophon is available from the Oxford World Classics series.
Daphnis and Chloe by Longus is also available from the Oxford World Classics series and on line in a 17th century English translation and a famous 16th century French translation which was revised in the 19th century. The story also inspired an operetta by Offenbach and a ballet by Ravel.
An Ethiopian Story by Heliodorus is available from the Everyman series and on line in a 16th century English translation which was revised in the 1920s.