I prefer my romances less heavy on the suspense elements, so I tend to avoid spy-themed books. However, I do occasionally read a historical romance by a favorite author that features a spy hero and/or heroine. Some of those books have really stayed with me. Here are some that continue to be among my favorites:
Your Scandalous Ways by Loretta Chase - A cynical British spy named James is on a mission in Venice. His assignment leads him to fallen woman Francesca Bonnard. I loved the setting and the very subtle nods to various James Bond films. The whole book was a delightful good time.
Anything by Joanna Bourne. Since I normally avoid spy romances, I did not discover Joanna Bourne until this year. The reviews for her latest book, Rogue Spy, led me to try her back catalog. I am currently on Book 4, and I have loved every page so far. She skillfully inter-weaves the suspense plots (set during the Reign of Terror and the Napoleonic Wars) and the romance plots, creates compelling secondary characters and writes the best damaged-but-redeemable heroes since Laura Kinsale.
What Happens in London by Julia Quinn - This is a more light and humorous novel than the others. Sir Harry Valentine is not really a professional spy (he works as a translator for the War Office), but he is forced to behave like one. Olivia Bevelstoke plays amateur spy herself, as she suspects her neighbor is up to something dastardly and decides to find out for herself. There are some playful nods to Hitchcock films (I seem to remember that the author considered calling this book The Trouble With Harry).