I love the way historical fiction can pull you even deeper into a story. Isabel Allende is one of my favorite authors in that she combines that + magical realism.
If you have ever seen an old school movie. Then you have come across a historical fiction. As they are a literary genre in which the plot takes place in a setting located in the past.
Depends on if the movie is based in fact though, you know? It can be *set* in the past, but not necessarily historically correct. 
Right. They can be applied to work in  theatre, opera, cinema and television, as well as video games and graphic novels
Do you have a media that you prefer? I've noticed more graphic novels -- there's one that tells the story of the Buddha quite beautifully.
I like historical ones.  One thing to note with these genre is that it pays special attention to the manners, social conditions and other details of the period depicted.