For optics, there is a nice textbook at
http://optics.byu.edu/Textbook.aspx
with a good combination of depth and breadth, while still concise (350 pages).
For thermodynamics, it is somewhat more difficult to recommend a single book. My impression is that there are many people who feel experts on thermodynamics and related questions, but they/ or their books stress always something different. You can find two completely different expositions on thermodynamics, reading one making you wonder how could the other be called thermodynamics too. This is probably because the subject is very interesting to many people with different background, and everybody thinks his limited view is the most important part of thermodynamics. Also, much confusion is introduced into thermodynamics by attempts to mix it with statistical physics.
My advice is definitely to read more books on thermodynamics also for the first reading. Do pure thermodynamics in depth first, do not mix it with statistics. For this, Planck's treatise
Treatise on thermodynamics, 3rd ed, Dover 1945
should be good (but I haven't read it yet). Also, a book
Pippard A.B. Elements of classical thermodynamics (CUP, 1966)(600dpi)(T)(174s)_PT_
is short and attracting.
Next, this modern textbook is much used today:
Callen H.B. Thermodynamics And An Introduction To Thermostatistics (2ed., Wiley, 1985)(T)(K)(600dpi)(511s)_PT_rn textbook on thermo is worthwhile, like
There are some interesting things, but it is bit too formalistic for my taste.
Then there is statistical physics, the part in Callen is a good start. Also Schroedinger's little book is quite nice, and short.
I really recommend to learn thermo and statistics separately. Nowadays there is a tendency to teach them together, but this only creates confusion or gives only superficial view of thse difficult subjects.