The Cambridge History of American Theatre by 
A Companion to the Medieval Theatre by 
History of the Theatre by 
History of World Theater by 
The Oxford Illustrated History of Theatre by 
The Cambridge Companion to Medieval English Theatre by Some of these are electronic books, where possible I've given you a direct link to the text. In other cases, the link goes to the catalog page with the call number and information about the book.
Look for a "Daily Life in..." book for some useful historical context. Some examples:
Daily Life in Elizabethan England by 
Ancient Civilizations Reference Library Cumulative Index by 
