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