The Burgundians: A Vanished Empire by Bart Van Loo. A sweeping popular history of the dukes of Burgundy, the medieval state they assembled from Dijon, and how it slipped through Charles the Bold's fingers at Nancy in 1477. Long but readable; the best single book in English on the world that built the Palace of the Dukes.
Burgundy: A Global History of the Most Coveted Wines on Earth by Raymond Blake. Less about Dijon than the surrounding Côte, but essential context for any visit. Explains the climat system, the producer hierarchy, and why the price of a bottle from a particular row of vines five kilometres south of the city can run to four figures.
The Three Musketeers by Alexandre Dumas. Not set in Dijon, but the Burgundy-Bourgogne setting feeds the early chapters, and d'Artagnan's first encounter with the Cardinal's men at Meung-sur-Loire turns on the rivalry between provincial gentry and the Parisian court that ran through 17th-century France.
Notre Dame de Paris by Victor Hugo. Read for Hugo's evocation of medieval Gothic France — much of what he describes in Paris also stands in Dijon, and the Notre-Dame of Dijon shares the same architectural DNA as its more famous Parisian cousin.