Seconding Frances Yates (came in to link to her) and Witchcraft in Europe. I took a class on magic and belief in early modern Europe and both of those books were on the syllabus. I can only remember one other: The Night Battles by Carlo Ginzburg. posted by Hactar at 1:16 PM on December 10, 2012
(The Yates book I read was the one on Giordano Bruno.) posted by Hactar at 1:17 PM on December 10, 2012
Early modern European witchcraft - centres and peripheries, edited by Bengt Ankarloo and Gustav Henningsen.
Ancient Christian magic - Coptic texts of ritual power, edited by Marvin Meyer and Richard Smith.
And, somewhat peripheral to your interests but a book I enjoyed very much (and the Nicolas Flamel who is mentioned in one of the Harry Potter books is in it:
The Jewish alchemists - a history and source book by Raphael Patai. posted by rjs at 1:42 PM on December 10, 2012
I would recommend the books of Carlo Ginzburg, especially The Night Battles, Ecstasies, and The Cheese and the Worms. Ginzburg is a serious academic and these books rely on a lot of research and eyewitness accounts of cults, "magic" and how the Inquisition treated witches, magicians and other evildoers. posted by mattbucher at 1:46 PM on December 10, 2012 [1 favorite]
If you like thinking about this kind of stuff, the (fiction! but peppered with real facts in among the fictional bits) Aegypt Cycle will be right up your alley. posted by rivenwanderer at 3:01 PM on December 10, 2012 [1 favorite]
(Also, I know I've mentioned it before on the green, but curses are an extremely interesting and fun look at magic in the Roman world. Found from Carthage to Britain, we know more about the wants and desires of people from all walks of life from their curses. Good intro to British curses here.) posted by jetlagaddict at 8:08 PM on December 10, 2012 [1 favorite]
For China, though mid-Qing rather than ancient, Philip Kuhn's Soulstealers on a sorcery panic is excellent.
Seconding the Keith Thomas rec as well, superb book. posted by Abiezer at 6:51 PM on December 11, 2012
For ancient Egypt, Ritner's "Mechanics of Ancient Egyptian Magical Practice" is The Source - and it's available as a free download from UChicago: http://oi.uchicago.edu/research/pubs/catalog/saoc/saoc54.html posted by Nemtynakht at 8:53 PM on December 13, 2012
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Ozark Magic and Folklore
Witchcraft in Europe
Magic in the Middle Ages
The Devil's Doctor
May give you a place to start.
posted by Ghostride The Whip at 1:00 PM on December 10, 2012