Far from the Madding Crowd by Thomas Hardy (1874). Hardy set much of his Wessex fiction in the chalk downlands around Blandford Forum's Dorset. The fictional Weatherbury is often identified with Puddletown, a village just south of the area, and the novel's world of farms, sheep fairs, and village life maps closely onto the landscape you'll see from Blandford's surrounding hills. Reading Hardy before or during a visit transforms the countryside from pleasant to haunted.
The Trumpet Major by Thomas Hardy (1880). Set during the Napoleonic Wars in the Dorset of Hardy's grandparents' generation, this quieter novel centres on the camps and countryside around Weymouth but ranges across the same chalk downlands. It gives the best sense of how this part of Dorset looked and felt in the early nineteenth century — the period of Blandford Forum's Georgian rebuilding.
Dorset by Ralph Wightman (1939). A classic portrait of the county written by a Dorset farmer and broadcaster who knew the chalk downlands intimately. Wightman's chapters on the Stour valley and the market towns of north Dorset describe a world of agriculture, dialect, and community that has not entirely vanished — the Thursday market in Blandford still draws farmers from across the area that Wightman wrote about.
The Buildings of England: Dorset by John Newman and Nikolaus Pevsner (1972). For anyone interested in architecture, this is the essential companion. The Blandford Forum entry is one of the most enthusiastic in the volume — Pevsner and Newman give the Bastard brothers and their Georgian rebuilding the scholarly attention they deserve. Worth dipping into before you walk the market place.