Since it seems that the majority of you enjoy the Greeks more than the Romans I recommend to you: Mythology by Edith Hamilton. She starts out the book by introducing the difference between the Greek and Roman writing styles. She then continues to introduce you to the Gods, Goddesses, Lesser Gods, Titans and Heroes of mythology. She tells you how the world came to be made along with mankind. Quiet fascinating.
And then she starts the myths. Love and lost, odysseys, and the Trojan war. And if you easily lose track of which God is connected to who, never fear! A conveniently placed family tree is located in the back of the book.
P.S. She also adds a quick introduction to the Norsemen and a few myths. LOVE.