Hey,
I copied the following (dotted) list of books out of a paper on Loop Quantum Gravity (Thiemann, "Lectures on Loop Quantum Gravity"), because I couldn't write a better one.
• General
A fairly good encyclopedia is
Y. Choquet-Bruhat, C. DeWitt-Morette, “Analysis, Manifolds and Physics”, North Holland,
Amsterdam, 1989 (Volumes 1 and 2)
• General Topology
A nice text, adopting almost no prior knowledge is
J. R. Munkres, “Toplogy: A First Course”, Prentice Hall Inc., Englewood Cliffs (NJ), 1980
• Differential and Algebraic Geometry
A modern exposition of this classical material can be found in
M. Nakahara, “Geometry, Topology and Physics”, Institute of Physics Publishing, Bristol, 1998
• Functional Analysis
The number one, unbeatable and close to complete exposition is
M. Reed, B. Simon, “Methods of Modern Mathematical Physics”, vol. 1 – 4, Academic Press,
New York, 1978
especially volumes one and two.
• Measure Theory
An elementary introduction to measure theory can be found in the beautiful book
W. Rudin, “Real and Complex Analysis”, McGraw-Hill, New York, 1987
• Operator Algebras
Although we do not really make use of C∗−algebras in this review, we hint at the importance
of the subject, so let us include
O. Bratteli, D. W. Robinson, “Operator Algebras and Quantum Statistical Mechanics”, vol.
1,2, Springer Verlag, Berlin, 1997
• Harmonic Analysis on Groups
Although a bit old, it still contains a nice collection of the material around the Peter & Weyl
theorem:
N. J. Vilenkin, “Special Functions and the Theory of Group Representations”, American Mathematical
Society, Providence, Rhode Island, 1968
• Mathematical General Relativity
The two leading texts on this subject are
R. M. Wald, “General Relativity”, The University of Chicago Press, Chicago, 1989
S. Hawking, Ellis, “The Large Scale Structure of Spacetime”, Cambridge University Press,
Cambridge, 1989
• Mathematical and Physical Foundations of Ordinary QFT
The most popular books on axiomatic, algebraic and constructive quantum field theory are
R. F. Streater, A. S. Wightman, “PCT, Spin and Statistics, and all that”, Benjamin, New
York, 1964
R. Haag, “Local Quantum Physics”, 2nd ed., Springer Verlag, Berlin, 1996
J. Glimm, A. Jaffe, “Quantum Physics”, Springer-Verlag, New York, 1987
I, personally, haven't read a single one of those, but they all seem to be very mainstream and widely used. Books I have experience with and can recommend are,
Hrbacek - Introduction to Set Theory
Lang - Underg. Analysis
Sternberg - Advanced Calculus (huge, available online, together with a number of other books which will be of great use to you, see Shlomo Sternberg's faculty page -- Chapters 0 and 1 alone are worth working through)
Rudin - Principles of Mathematical Analysis
Greub - Linear Algebra
Halmos - Finite-dimensional Vector Spaces
Lang - Linear Algebra
Sharipov - Linear Algebra (available online)
Lang - Underg. Algebra
Hungerford - Algebra
MacLane - Algebra
Connell - Elements of Abstract and Linear Algebra (available online)
Rotman - An introduction to the theory of groups
These books are mainstream, too, but still too advanced for me:
Rudin - Functional Analysis
Awodey - Category Theory (does not presuppose much knowledge)
On Mathematical Physics:
Szekeres - A course in modern mathematical physics
Geroch - Mathematical Physics
Other good books are available online by Gerald Teschl (University of Vienna) on ODEs, Dynamical Systems Theory, Functional Analysis, Operator Theory.
Mathematics is essentially non-linear. There is no clear path. You will have to study multiple disciplines of mathematics and physics at the same time. Someone else can enlighten you on this topic, perhaps.
Cheers,
Etenim.