History
Herod I or Herod the Great, was a Roman client-king of Judaea (c. 74 BC – c. 5, 4 or 1 BC in Jerusalem). The details of his biography can seen in the Book of the Jewish Historian Josephus in addition to the Gospel of Matthew. Herod the Great's son, Herod Antipas (who is also called Herod) is even more prominently featured in the New Testament for his role in John the Baptist's arrest and execution.

Massacre of the Innocents
King Herod the Great ordered the execution of all young male children in the village of Bethlehem, so as to avoid the loss of his throne to a newborn "King of the Jews", whose birth had been related to him by magi.

Matthew 2:13 Arise, and take the young child and his mother, and flee into Egypt, and be thou there until I bring thee word: for Herod will seek the young child to destroy him.

Caesarea Maritima
Founded by King Herod in the first century BCE on the site of a Phoenician and Greek trade post known as Strato’s Tower, Caesarea was named for Herod’s Roman patron, Augustus Caesar. This city was described in detail by the Jewish historian Josephus Flavius. (Antiquities XV. 331 ff; War I, 408 ff) It was a walled city, with the largest harbor on the eastern Mediterranean coast, named Sebastos, the Greek name of the emperor Augustus.

The temple of the city, dedicated to Augustus Caesar, was built on a high podium facing the harbor. A broad flight of steps led from the pier to the temple. Public buildings and elaborate entertainment facilities in the imperial tradition were erected. King Herod’s palace was in the southern part of the city.

A description of both Caesarea's buildings and harbour is found in Josephus's The Jewish War (Book I, 408-415). Recent digs have largely confirmed his description of a splendid city in white stone (quarried from nearby hills). Josephus's knowledge that huge stone blocks were piled into the sea to lay the harbour's foundations also proved to be correct.

More information on Caesarea

Masada
Masada was the mountain fortress constructed by King Herod that was occupied by Jewish rebels after the Jewish revolt in the first century. The rebels defended themselves from a Roman army for months. When it appeared that the Romans would finally conquer the fortress hundreds of rebels committed suicide rather than be taken prisoner by the Romans. Although this fort is not mentioned in the Bible it does give insight into the Roman military method as well as the life of King Herod and his construction.

Scriptures
Matthew 2:1 Now when Jesus was born in Bethlehem of Judaea in the days of Herod the King

Acts 23:33 Who, when they came to Caesarea, and delivered the epistle to the governor, presented Paul also before him.