One example is Foucault. See his essay, "Nietzsche, Genealogy, History," for instance. In it, he discusses both Nietzsche's work and his own genealogical method. I apologize for not being able to recall the essay more clearly, but he makes distinctions between three approaches to history: Ursprung, Herkunft, and Entstehung.

The essay is much richer than my recollection allows, but whereas Ursprung is an uncritical concern with origins of whole entities, such as a nation, Entstehung orients itself to the ways that, at any given moment, power relations reverse or alter, leading to ever new constellations of practices and identities. It isn't a claim to objectivity, by any means, but it is still a more open, critical approach.

See Michel Foucault, "Nietzsche, Genalogy, History," in The Foucault Reader, edited by Paul Rabinow.

While they don't really fit with the question you're asking as they aren't primarily considered historians, other thinkers like Max Weber and Georg Simmel, who were writing shortly after Nietzsche's death (for the most part), are influenced by his views on knowledge. Weber, it should be noted, is generally considered a foundational thinker in historical sociology. Weber also drew on Nietzsche's interpretive use of 'types', which Nietzsche, in turn, no doubt picked up at least in part from his friend Jakob Burckhardt, a historian of art and culture (see his The Civilization of the Renaissance in Italy). Johan Huzinga's The Autumn of the Middle Ages is also written more or less in this style, but again this is not 'genealogy' so much as history expressing an affinity for certain elements of Nietzsche's work. Everyone mentioned concerns himself with morality and values in some way.

Weber discusses both ideal types and historical constellations in his well-known work The Protestant Ethic and the Spirit of Capitalism (I would recommend the Kalberg translation) and the essays collected in Methodology of Social Sciences (translated and edited by Edward A. Shils and Henry A. Finch). His more mature approach to interpretive sociology is laid out in greater detail (if unsystematically) in his Economy and Society. He also wrote histories of religion in China and India as well as a history of Judaism. I can't say whether they'd be recommended by contemporary historians of religion, but his methodology has been influential nonetheless.

Edit: I should have also mentioned that Norbert Elias, whose The Civilizing Process sets out more to raise than answer questions, does link the historical evolution of social organization to changes in individual psychology, particularly with reference to fear, anxiety, and shame. The work mentioned links the development of the state and the modern world writ large (including the general pacification of interaction) to the way fear turns inward as conduct becomes more regulated by emotions such as shame. Elias is also something of a seminal thinker in historical sociology, although he seems to have been largely forgotten.