Princess Grace. The Princess and the Pizza. My 8 year old still checks out the latter from the library. The former includes history of "real" princesses.
EDIT: for those who want "real" non-princesses, the Who was? series is great, but more for 1st/2nd/3rd graders. By then, they are mostly giving up princesses anyway. There aren't a lot of these types of things out there for 2-4 year olds.