I think the key to setting your game in a "historical" setting (regardless of what universe this is the history of) is deciding how much of that history is in the control of your characters, and how much of it is not. If you put most events in the control of your characters, the "history" will end up radically different. Conversely, if you put very few events into their control, the lack of Free Will becomes readily apparent to your players and they'll quickly lose interest.
Having done "historical" games a few times in the past, I've found one thing that helps is to mark out those few events which are "historically inevitable." Then, instead of thinking of this as a limitation of what the characters can do, try to make it their goal.
Let's take some examples from The Lord of the Rings itself, assuming that the characters in the story are characters in your game. One event that is inevitable is the assault of Mordor upon Gondor; everyone knows that's coming, sooner or later. Nothing that the Fellowship can do will alter that. They can, however, affect the timing of that assault, and to a certain extent the outcome of the assault. Aragorn reveals himself in the Palantir, prompting Sauron to strike immediately, rather than waiting until everything is ready. He then takes off and manages to bring reenforcements to the battle in the nick of time, managing to win the day for the Good Guys.
Or look a Pippin, for example. He does absolutely nothing to affect the outcome of the Battle of the Pellanor Fields. However, without Pippin, Faramir would have died, leaving Minas Tirith leaderless, and Eowyn to a rather unhappy end. The death or survival of Faramir could hardly change the outcome of the War of the Ring, but I challenge anyone to say that it doesn't make a difference.
Once upon a time, I ran a Star Wars campaign (back in the days of the West End Games 2nd Edition) which intersected with the movies in a major way; the characters, originally a bunch of freelancers drifting from system to system as fortune dictated, joined up with the Rebels right before the Battle of Endor. Do I just skip over this major event in the Star Wars universe and pick up after the Death Star explodes? Of course not, they'd have lynched me for copping out and denying them a piece of the action. Somehow I have to insert them in the action, make them feel like they are making a difference, but keep the course of events unaltered.
What I ended up doing was inserting them in the commando team that assaulted the shield bunker; they just didn't have the star-piloting chops to make the space battle worthwhile, and the ground battle was a much more personal affair. So while the "heroes" of Return of the Jedi were off visiting the Ewoks, the heroes of the game were helping lead the commando team to the shield bunker, avoiding both Ewok traps and Imperial patrols. Thus they got to do their bit by ensuring the commandoes made it to the bunker intact, without alerting the Stormtroopers. None of the final outcomes were changed, but the players had a leading hand in ensuring they remained unchanged.
Now let's look at that Fall of Arthedain idea Dan's working on currently for an example; it actually happens to be one of the "historical" games I ran once upon a time, though it was broken up before we got halfway through the rising action.
The ultimate inevitable occurrance is that, in 1974 of the Third Age, the forces of Angmar descend on Arthedain, sack Fornost, and put an end to the North Kingdom. This is a given, since it's also the main plot of your Campaign. The Witch King and his armies are too great a force for your players to hope to halt. There is also a relief force from Gondor which arrives, too late to save the North Kingdom but soon enough to destroy the Realm of Angmar, leading to Eärnur's fateful meeting with the Witch King and the prophecy of his demise. There is also the escape of Arvedui to the Lossoth and then his loss at sea when the rescue ship founders. This is a rough framework of the essential "historical elements" of the story.
So if you decide that these events are unalterable, what does this leave for the players to do? Plenty, actually, and they could be tied very closely into the action of these unalterable events. Arthedain knew a full year before the fact that the Witch King was preparing a final stroke. Who spied out the secret preparations? Messages had to be sent to Gondor to summon aid. Who delivered them, if it was not done by Palantir? Did the Dunedain of the North launch spoiling attacks against Angmar, in order to delay the inevitable onslaught and give Gondor as much time as possible to come to their aid? When Fornost fell and the survivors were driven across the Lune, who ensured the survival of the King's Sons? There is plenty of room for your players to take significant parts in these events and feel satisfied that they have made a difference, without changing the ultimate outcome in the least.
I guess what it all boils down to is this: if you're not going to let the players alter the ultimate outcome, make them focus on shaping it in some fashion. Give them vital roles, outside of what is specifically detailed, in ensuring that these historical events occur. It does work, trust me on this.
-Chris Landmark
"Was entstanden ist, das muss vergehen. Was vergangen, auferstehn." -Klopstock & Mahler
"Only liberals really think. Only liberals are intellectual. Only liberals understand the needs of their fellows." How much viciousness lay concealed in that word! Odrade thought. How much secret ego demanding to feel superior. - Heretics of Dune
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