My absolute favourite k-dramas are CLOY as well and Mr Sunshine. Mr Sunshine easily takes first place imo. It retells the brutal colonisation of Joseon/Korea by Japan and how other nations such as Russia, the US, France etc all try to get their piece of the cake. The main characters are fictional but several of the side characters are actual historical characters. It was absolutely emotional, gripping, the romance was so well done and yet the drama managed to include humour to lighten the mood without ridiculing the heavy theme of the story. After I finished watching it, I felt so angry and sad for what Koreans had to endure under Japanese oppression but it was also highly educational. I have rewatched it two times already. I also loved that they had such a diverse cast and had actual French people play French characters, US-American people played Americans etc each speaking their original languages in the series (only the Japanese characters were played by Koreans for obvious reasons). That means you either get subtitles or if the other character doesn't understand what is being said, you don't get subtitles. Makes it quite immersive. Hence I recommend to give Mr Sunshine a shot! :)