Bill and Ted's Excellent Adventure took, I would say, some rather giant leaps in this regard..

...but then who's to say that Napoleon Bonaparte wouldn't actually be a huge fan of waterslides and giant ice cream sundaes?

My Ghost Train feature spec has roles for quite a few historic gunslingers & outlaws. Or their ghosts, anyway. I mostly went for lesser-known badmen - I didn't want to do yet another movie with Jesse James and Billy the Kid.

Patrick Sweeney
I Blame Ninjas

Depending on the story you're telling, and how real/fantasical your treatment there could be legal issues to do with the historical figure's descendants' privacy and reputation (the latter, if you're critical of their ancestor, and your claims could reflect on their kids).

Other than that, it's pretty safe. Especially if the person was a well-known, public figure.