The first Duke of Marlborough (1650-1722) was a soldier of such genius that a lavish palace, Blenheim, was built to honor his triumphs. Succeeding generations of Churchills sometimes achieved distinction but also included profligates and womanizers, and were saddled with the ruinous upkeep of Blenheim. The family fortunes were revived in the nineteenth century by the huge dowries of New York society beauties Jennie Jerome (Winston's mother) and Consuelo...