Landau, L. D.; Lifshitz, E. M. (1976). Course of Theoretical Physics is still the most interesting and solid base that is to be considered as a reference and inspiration in Theoretical Physics.
The reference for "Classical Electrodynamics" is the book by J.D. Jackson. "Advanced Quantum Mechanics" by J.J. Sakurai is a popular student choice.
Compendium of Relations contains various formulas and relations of the Standard Model. The
Lecture Notes on General Relativity by S. Carroll are a solid introduction for an initiate relativist. "Quantum Field Theory in a Nutshell" by A. Zee is amazing. Quantum electrodynamics can be explored in the books by "The Quantum Theory of Fields" by S. Weinberg or "Quantum field theory" by L.H. Ryder or Quantum Chromodynamics in M.E. Peskin & D.V. Schroeder "An Introduction to Quantum Field Theory". The lecture notes on
Quantum Chromodynamics (QCD) might be interesting for people diving into the particle physics standard model. "Finite-temperature field theory: Principles and Application" discusses systems in equilibrium but at finite temperatures and chemical potentials and thus connects to cosmology of the early universe.
The field of Statistical Field Theory has the classic "Quantum Many-Particle Systems" by J.W. Negele and H. Orland or the more recent "Quantum Field Theory of Many-Body Systems" by X-G. Wen or "Ultracold Quantum Fields" by H.T.C Stoof, D.B.M. Dickerscheid, K. Gubbels.
String Theory is so diverse that you'll find lots of different approaches, recommendations are
Graduate Course in String Theory by A. Uranga,
Applied Conformal Field Theory by P. Ginsparg,
Lectures on String Theory by D. Tong or more introductory the book "A First Course in String Theory
" by B. Zwiebach or the dense "Superstring Theory" by M. Green, J. Schwarz and E. Witten, "String Theory" by J. Polchinski. "Quantum Field Theory of Point Particles and Strings" by B. Hatfield assumes no previous stringy background and is known for excellent explanation of the path integral formalism. M. Nakahara wrote the wonderfull bridge to maths: "Geometry, Topology and Physics".
So please when looking for "references" in theoretical physics venture on solid grounds and don't get distracted by sketchy notes.
Update:
Peter West pointed out that the
The Feynman Lectures on Physics are missing as a timeless reference.