I finally finished reading E H Gombrich's excellent "The Story of Art" [link] - a big thank you to ~cheekymonkeyali for recommending it to me. It covers the history of the various artistic movements from the earliest cave painting up to the 1980's. Obviously, even in a book this size it's huge it can't cover everything in great detail, but it is a fantastic introduction and I just wish I'd read it years ago.
If you're looking for something a little smaller, I can also recommend "Isms: Understanding Art" by Stephen Little [link] - short, lots of pictures, identifies the key artist in each movement.
Of course, all of this begs the question: is a knowledge of the history of art worthwhile?
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Of course it is worthwhile. Otherwise you're wandering in the dark. I doubt that any serious percentage of people have such a magical art intuition that they don't need any lessons (: