The Second Anglo-Sikh War 1848-49 - Amarpal Sigh [Not read yet].
The Indian Mutiny - Richard Collier [Taught me not to go here for wargaming].
Central Asia - Josiah Harlan [Travels of an American adventurer - The Man Who Would Be King is thought to be based on his life in the Punjab and Afghanistan (see comments below for more) - it has a copy of the 1934 General Staff map #2149 of Afghanistan and its borders].
The Savage Frontier - D.S. Richards [Anglo-Afghan Wars].
The Frontier Ablaze - M. Barthorp [Anglo-Afghan Wars. V. Good plates].
Scramble For Africa - T. Packenham [A real opus. The colonisation of Africa from the beginning].
Imperial Vanities. The Baker Brothers and Gordon of Khartoum - B. Thompson [Good read].
Khartoum - Michael Asher
With Kitchener to Khartum - Steevens [Victorian book. Very dated views].
The Story of Chinese Gordon - A Egmont-Hake [Another Victorian book].
A Good Dusting. The Sudan Campaign 1883-1899 - H. Keown-Boyd [My introduction to the period].
Go Strong Into the Desert. The Mahdist Uprising In Sudan 1881-85 - Mike Snook [Looks excellent].
Ospreys: If you like that kind of thing:
The Indian Mutiny - C. Wilkinson-Latham
The First Anglo Sikh War 1845-46 - David Smith
Bengal Cavalry - C. Warner
Khartoum - D. Featherstone
British Infantryman versus Mahdist Warrior. Sudan 1884-98 - Ian Knight