I am very late to the party with this response—15 years! But since this post turned up when I was researching a related topic, perhaps it’s worth adding a supplementary comment here.
For anyone looking for an English-language Latin grammar with even greater depth and coverage than Kennedy, Allen & Greenough, or Gildersleeve & Lodge, I would suggest the following:
Henry John Roby, A Grammar of the Latin Language from Plautus to Suetonius, 5th edn, 2 vols. (London: Macmillan, 1887–89).
(Scans can be found at the Internet Archive.)
Roby has continued to be relevant and useful, because he concerned himself less with giving summaries of grammatical rules and more with assembling many quotations to illustrate different kinds of usage. Woodcock’s wonderful New Latin Syntax (which has already been mentioned) is in some ways a critical commentary on Roby. (Now, over sixty years later, many of Woodcock’s “prehistoric reconstructions” of the development of syntax have been rejected, but, as with Roby, the materials he assembled and the insight that he brought to them give to his book a continuing relevance and utility.)
And for a level beyond even Roby-plus-Woodcock, those who can read German (and nowadays that includes everyone with a smartphone and the Google Translate camera app) can consult the following:
Manu Leumann, J. B. Hofmann, and Anton Szantyr, Lateinische Grammatik auf der Grundlage des Werkes von Friedrich Stolz und Joseph Hermann Schmalz, new edn, 3 vols., Handbuch der Altertumswissenschaft 2.2 vols. 1–3 (Munich: C. H. Beck, 1972–79).
Google Books has previews of Volume 1 (Lateinische Laut- und Formen-Lehre = “Latin Phonology and Morphology”) and Volume 3 (Stellenregister und Verzeichnis der nichtlateinischen Wörter = “List of Source Citations and Index of non-Latin Words”). The Internet Archive has a borrowable copy of Volume 2 (Lateinische Syntax und Stylistik = “Latin Syntax and Style”), which is probably the most useful one for readers here.
(Praetermitto, scilicet, paginam illam interretialem, Library Genesis nomine, qua exempla horum voluminum illicita inveniri possent.)
So far as I’m aware, Leumann-Hofmann-Szantyr remains the “big” grammar of reference for Classical Latin, though it was already regarded as “conservative” even when the first volumes of the original edition were appearing in the 1960s. (For help with medieval texts, there’s Peter Stotz’s five-volume contribution to the same series, Handbuch zur lateinischen Sprache des Mittelalters.)
I hope this information may be of use.