I'd love to give recommendations on probability, but I learned it from a person, not a book, and I have yet to find a book that really fits the subject as I know it. The one I usually recommend is Grimmett and Stirzaker. It develops the algebra of probability well without depending on too much measure theory, has decent exercises, and provides a usable introduction to most of the techniques of random processes. I found Feller's exposition of basic probability less clear, though his book's a useful reference for the huge amount of material on specific distr... (read more)

I would anti-recommend Purcell, but I acknowledge that for some people it’s the
best. It’s more wordy and “tell rather than show” than e.g. Griffiths.
On Reichl’s book, I want to note from what I’ve heard (not personally read) that
the 2nd edition has much more explanation and intuition that the 3rd edition cut
out. I haven’t read other statistical mechanics books and so can’t compare to
others.

6pragmatist11y

A small point, but an important one I think: Reichl is a woman
[http://order.ph.utexas.edu/people/Reichl.htm].

1lukeprog11y

Thanks for all your recommendations! Purcell's Electricity and Magnetism is not
out of print
[http://www.amazon.com/Electricity-Magnetism-Edward-Purcell/dp/1107013607/].

I'd love to give recommendations on probability, but I learned it from a person, not a book, and I have yet to find a book that really fits the subject as I know it. The one I usually recommend is Grimmett and Stirzaker. It develops the algebra of probability well without depending on too much measure theory, has decent exercises, and provides a usable introduction to most of the techniques of random processes. I found Feller's exposition of basic probability less clear, though his book's a useful reference for the huge amount of material on specific distr... (read more)