Fiction in English Set
in Spain or Latin America

Aztec by Gary Jennings.  Jennings was known as one of the best writers of historical fiction in the world.  He was particularly well known for his meticulous research, and for the huge amount of historically correct detail he included in his work.  Aztec follows the life of an Aztec (or Mexica as they called themselves) during the decades preceding the conquest, until just after the conquest.  I highly recommend Aztec.  Jennings also wrote a novel that tells the story of an Indian uprising some years after the conquest.  It is called Aztec Autumn, and while not as spellbinding as Aztec, is well worth reading.  A third book, called Aztec Blood, was produced after Jennings's death from notes he left.  It is about the adventures (more like misadventures) of one of Mexico's first mestizos (called leperos in Mexico up until fairly recently).  All three are worth reading, but Aztec is a must to understand Mexico's indian heritage.

The Power and the Glory  by Graham 
Greene.  A classic novel about the 1920's in  Mexico, when the government tried to destroy the Catholic church.  The protagonist, a deeply flawed priest who refuses to go into exile, is a very tragic figure, and is more about human nature than a criticism of flawed priests.  A very good depiction of a tragic time in Mexico´s history.  Also by Greene, Our Man in Havana: An Entertainment, one of his few comedies.  An ambitions British agent recruits a vacuum cleaners salesman as a spy, and to keep the money coming the salesmen invents more and more ludicrous reports, which to his surprise and discomfiture, are believed by  MI6, who send some agents to help him.

Under the Volcano : A Novel, by Malcolm Lowery.  

The Tailor of Panama, by John le Carre