Go to your library and search these scholars:1) Michael Grant2) H.H. Scullard3) Geza Alfoldy4) Chester Starr5) W.H.C. Friend6) C.R.  DoddsThen search primary sources such as Pliny, Polybius, Tacitus, and Josephus.For religion, Eusebius would be your best bet as he chronicled the history of the church.  Also, Seneca wrote a series of letters entitled: Letters From A Stoic.  Other sources on religion would be Celsus On The True Doctrine which criticized Christianity.  Shoot me a PM or an email for further references.  I'll point you in the right direction. 🙂

Do a Google search on these terms:  heresiology or heresiologists, Christological Controversy, Manicheeism, Gnosticism or Gnostics, Copts, mysticism, Neo-Platonism, Plotinus (who wrote The Enneads), Constantine and The Battle of Milvian Bridge, the Areopagus, Stoicism, Epicureanism, Epictetus, Logos, The Council of Nicaea, The Council of Chalcedon, aesceticism, and Philo.  Trust me when I say you will need to know many of these terms in your research efforts.  Some other scholars of note are:Hans Conzelmann, Walter Brueggemann, Kurt Rudolph, and Karl Barth (who may or may not be helpful).