Most people seem to be comparing this with The Man In The High Castle*, which I found a bit uninspiring except for the bit when Mr Tagomi (a generally good egg among the Japanese/German victorious powers) slips back into our dimension for half an hour. Of course, TMITHC isn't really about alternative history at all; that's just a useful vehicle for the whole alternative-realities conceit. However, both stories have an unoccupied zone, the Nazis remain just as nasty as during the war, and the SS are still running things where possible.
"Fatherland" is probably my favourite of the genre - really nasty Nazis and Heydrich running the SS.
*I've only read the book