For me, historical fantasy is to novels what bacon and egg ice cream is to food; however much I like the components individually, the combination leaves me a little baffled. Reading Temeraire made me think about why this might be, so I'll try to explain it here.
Better start with some definitions. For the purposes of this article, historical fantasy means a story that features supernatural powers and/or creatures unknown to natural history alongside real historical events or in a setting that claims to be a real historical time and place. I'll illustrate how I think it differs from historical fiction, alternate history and fantasy by means of made-up examples:
Of course these all merge into one another, since books follow a continuous distribution, not a series of discrete groups. And it should go without saying that this is in no way intended as a hierarchy, and that I don't consider any category to be superior to any other. There are some that I enjoy more than others, but a personal taste is not a judgement.
Supernatural, in this context, means an event or action for which no natural explanation is plausible. E.g. a human who can breathe underwater without special equipment, animals that talk in human languages, people who turn into animals and vice versa, inanimate objects that act or speak of their own volition, people who rise from the dead, and spells that work (whether they slaughter armies, move mountains or do the washing-up). It doesn't include belief, technology or random coincidence. E.g. a warrior who believes he is possessed by a god, kills the enemy leader against heavy odds, turns the tide of battle and is hailed by the other characters as a god (that's belief); painting a dog with phosphorus so the other characters think it's a ghost (that's technology); cursing someone who then falls dead of a stroke (that could be coincidence); dreaming that a colleague is in trouble, going to their rescue and arriving in the nick of time (that could be coincidence).
I enjoy historical fiction, fantasy and invented history (I'd put Guy Gavriel Kay's Lions of Al-Rassan in this latter category, together with my own novel Ingeld's Daughter). But I find I have more trouble with both historical fantasy and alternate history. Why should that be?
I think it's because I see a disconnect between the components of the story. A real historical time, place or event exists independently of the world of the novel. I usually know a little bit about the historical background before I start, and that may well be what drew me to the novel in the first place. Even if I know little or nothing about the history, I probably have some idea about the geography, climate, plants, animals and natural resources. As I read, I'm combining what I already know with what the author puts in the novel and building up a combined picture. I'm sure all readers do this to some extent, which is why authors don't feel obliged to explain that Paris is the capital of France or that alcohol makes people drunk. Some background knowledge has to be assumed. In the case of historical fantasy or alternate history, as soon as William loses at Hastings or wins by using magic, there's a direct conflict between what I already know and what the novel is telling me and the picture in my head falls apart. I have to consciously keep track of which version I'm supposed to believe, and this distracts me from the story.
I don't have this problem with fantasy or invented history because the world in the novel has no independent existence that can conflict with the novel. I take Tolkien's word for it that wizards can light fires with magic words or that dwarves fight with battle-axes, and as long as the author doesn't tell me something different in the same novel I don't have a problem. Al-Rassan might strike me as remarkably like medieval Spain and Rodrigo Belmonte as remarkably like El Cid, but they are not claiming to be medieval Spain or El Cid, so I don't have a problem when Rodrigo Belmonte's fate diverges from El Cid's.
So I get around my difficulty with historical fantasy or alternate history
by treating it as fantasy or invented history, taking place in a parallel
world that happens to share some features with the real world. Provided I
remember to do it, this avoids a collision between two incompatible mental
images and leaves me free to enjoy the story for itself - if it's compelling
enough.