The Rossmann book is a good introduction. Another good one is the recent one by B.Hall, published by Springer. For introductory grad level treatments you might like to take a look at Knapp's Lie Groups Beyond An Introduction (Birkhauser), and the recent book by Bump, simply titled Lie Groups. The old text by Helgason, titled Differential Geometry, Lie Groups, and Symmetric Spaces, is also a good read. Warner is another fine text.
The physicists I've met have had problems with math texts. The books above are written for math students, and they assume a way of approaching the subject that is alien to physicists: careful definitions, elegant proofs, and a structure of results piled one on another. Physicists tend to think heuristically (well, so do mathematicians, but they can translate heuristic insights into abstract definitions, carefully-stated theorems, and formal proofs). Also, the grad level texts often assume you can construct your own examples, and develop heuristic insights from formal treatments by yourself.
A physicist would be better off with books such as Frankel's The Geometry of Physics, or Nakahara's Geometry, Topology, and Physics.
For calculations, I think there's an old text by Curtis(?) titled Matrix Groups, published by Springer. Another good one is Sattinger and Weaver's Lie Groups and Algebras, with Applications to Physics, Geometry, and Mechanics, also published by Springer.
By the way, I assume you've got a decent background in real analysis, linear algebra and general topology. And I'll repeat what mathwonk has already suggested: work carefully through the relevant sections of Artin: he develops baby Lie theory well.