Classical Mechanics:
Feynman Lectures on Physics Vol.1, Feynman: This text is excellent for conceptual and intuitive understanding of physical concepts.Classical Dynamics of Particles and Systems, Thornton and Marion: Essential for undergraduate mechanics. Excellent and challenging problems.
Classical Mechanics, Goldstein, Poole and Safko: Standard graduate text.
Classical Dynamisc, Greenwood: This is short and easy to read text that comes with many worked out examples.
Electricity and Magnetism:
Feynman Lectures on Physics Vol.2, Feynman: This text is excellent for conceptual and intuitive understanding of physical concepts.Introduction to Electrodynamics, Griffiths: Essential and very accessible for undergradute EM. All problems are worth solving.
Classical Electrodynamics, Jackson: THE REFERENCE in classical electrodynamics. This is a very dense text. Rarely does the author include details in the derivation of his results. The author usually presents the central ideas then divereges into applications. It is important to get the big picture first and to not get lost in the details. For the problems, they take time! The hard part is understanding what the problem is asking. In most cases, the problems are not trivial, but solving Jackson problems is extremely rewarding.
Quantum Mechanics:
Feynman Lectures on Physics Vol.3, Feynman: This text is excellent for conceptual and intuitive understanding of physical concepts.Introduction to Quantum Mechanics, Griffiths: Essential and very accessible for undergradutes. All problems are worth solving.
Principles of Quantum Mechanics, Shankar: This is one of my favourite texts. It takes you step by step through all quantum mechanics.
Modern Quantum Mechanics, Sakurai: More advanced text.
Statistical Mechanics:
Thermal Physics, Kittel and Kroemer: Good for undergraduate level.Statistical Mechanics, Pahtria: Graduate level.
General Relativity:
A First Course in General Relativity, Schutz: Good development of special relativity, tensor analysis and the geometry of space-time before addressing the field equations.Particle Physics:
Introduction to Elementary Particles, Griffiths: A first essential read.Quarks and Leptons: An Introductory Course in Modern Particle Physics, Halzen and Martin
Nuclear and Particle Physics: An Introduction, Martin: A survey of topics in partice and nuclear physics.
Quantum Field Theory:
An Introducation to Quantum Field Theory: Widely used textbook.Tong's lectures on QFT: http://www.damtp.cam.ac.uk/user/dt281/qft.html
Relativistic Quantum Mechanics and Field Theory, Grauss
Astronomy:
Galactic Dynamics, Binney and TremaineAn Introduction to Modern Astrophysics, Carroll and Ostlie
Goldberg's Introductory Lectures: http://mimas.physics.drexel.edu/phys231/
Mathematics:
Mathematical Methods for Physicists, Arfken, Weber and Harris: All the math needed is in here.Complex Variables and Applications, Brown and Churchil: Good treatment of computing integrals.
Lie Algebras In Particle Physics: from Isospin To Unified Theories, Howard Georgi: Group theory in particle physics.
All Schaum's outlines: Mathematical Handbook of Formulas and Tables is very handy!
Computational Physics:
Excellent introductory courses in computation using linux, C/C++, Python, Gnuplot to solve different problems in physics.Valliere's Computational Physics Course: http://www.physics.drexel.edu/~valliere/PHYS305/content.html
McMillan's EM Computation Course: http://www.physics.drexel.edu/courses/Comp_Phys/Physics-306/outline.html
McMillan's QM Computation Course: http://www.physics.drexel.edu/courses/Comp_Phys/Physics-307/outline.html
Numerical Recipes in C++ The Art of Scientific Computing, Press, Teukolsky, Vetterling and Flannery: Good reference for algorithms. A free reference for the second edition for C: http://apps.nrbook.com/c/index.html
Dynamic Data Assimilation: A least squares approach, Lakshmivarahan and Dhall: Good scientific computing reference.
Electronics:
The Art of Electronics, Hayes, Horowitz: Informal lab textbook.Basic Electronics: An Introduction to Electronics for Science Students, Meyer.