The Feynman Lectures on Physics by Feynman, Leighton, Sands (1964) — The most famous physics lectures ever given. Free to read online. (copyrighted)
Classical Mechanics by John R. Taylor (2005) — The cleanest Newton → Lagrange → Hamilton pipeline. (copyrighted)
Structure and Interpretation of Classical Mechanics by Sussman & Wisdom (2015) — Classical mechanics via computation. SICP meets Lagrangians. Online
Statistical Mechanics by R. K. Pathria (2011) — Entropy, ensembles, and real statistical physics. (copyrighted)
Quantum Mechanics and Path Integrals by Richard Feynman (1965) — Conceptual nuclear weapon disguised as a book. (copyrighted)
Spacetime Physics by Taylor & Wheeler (1992) — Special relativity made physical. Invariant interval first. (copyrighted)
QED: The Strange Theory of Light and Matter by Richard Feynman (1985) — Quantum electrodynamics for non-physicists. Feynman at his clearest. (copyrighted)
Gravitation by Misner, Thorne, Wheeler (1973) — The telephone book of general relativity. Exhaustive and beautiful. (copyrighted)
An Introduction to Thermal Physics by Daniel V. Schroeder (2000) — Thermodynamics + statistical mechanics at the right level. (copyrighted)