Ovid and The Metamorphoses was third year Latin for me, and it was a great experience that affects you so many subtle ways. Lucan and Catullus came later, but there was one book that put so much of what I had read into context and helped me understand the Roman world better than anything else. I believe it is out of print, but thankfully available on line here:
The Afterlife in Roman Paganism, by Franz Cumont.