Here are some of my favorite textbooks.
Classical Mechanics:
Classical Dynamics of Particles and System by Thronton & Marion
Classical Mechanics by Goldstein
Mathematical Methods of Classical Mechanics by Arnold
Quantum Mechanics:
Modern Quantum Mechanics by Sakurai
Quantum Mechanics/Advanced Quantum Mechanics by Schwabl
Thermodynamics/Statistical Mechanics:
Fundamentals of Statistical and Thermal Physics by Reif
Statistical Physics by Landau & Lifshitz
A Modern Course in Statistical Physics by Reichl
Statistical Mechanics by Pathria
General Relativity:
A Relativist's Toolkit - The Mathematics of Black-Hole Mechanics by Poisson
The large scale structure of space-time by Hawking & Ellis
Quantum Field Theory:
(Working knowledge of graduate level electrodynamics and quantum mechanics will be very helpful.)
Classics textbooks include the one by Peskin & Schroeder and the three volumes by Weinberg.
Other good books, in order of difficulty, include
Student friendly QFT (Vol 1 & 2) by Klauber
QFT for the gifted amateur by Lancaster
A modern introduction to QFT by Maggiore
Advanced topics in QFT by Shifman
Supersymmetry/String Theory:
Modern Supersymmetry: Dynamics and Duality by Terning
Supersymmetric Gauge Field Theory and String Theory by Balin & Love
String Theory and M-Theory by Becker, Becker & Schwarz
Supersymmetry and String Theory: Beyond the Standard Model by Dine
