I'll stick up some of the ones I've found pretty cool. I'm generally more interested in military fiction so this will reflect that!:L Quite good if you're trying to evoke a Victorian/Edwardian feel for your military though as these books give you a handle on the structure and ranks.
Gallipoli Diary by Sir Ian Hamilton. Interesting to read how forces were deployed and arranged in an era when wireless was still quite unreliable. If you're doing any large scale steampunk campaigns, it might be worth it!
http://www.gutenberg.org/ebooks/19317
An account of the War in the Air in the Great War, mentions dirigibles and airships a lot, quite interesting.
http://www.gutenberg.org/ebooks/793
Story of the Malakand Field Force-Winston Churchill as a war correspondent on the North-West frontier, really great reading if you're trying to imagine the border wars at that stage. Its like something out of a Kipling text.
http://www.gutenberg.org/ebooks/9404
An account of a Highland regiment operating in Mesopotamia during the First World War. Far more steampunky then the Western Front, you have mobility, two Empires clashing and adventures in a far off locale.
http://www.gutenberg.org/files.../22103-h/22103-h.htm
Another account of Mesopotamia with a Machine gun squadron this time.
http://www.gutenberg.org/ebooks/17109
A good account by a war correspondent who attached himself to Boer and British forces in the Boer War.
http://www.gutenberg.org/ebooks/16462
Can't recommend trawling through this site enough. It really helps you get a clearer picture of these times!