My favorites are
Feynman Lectures vol. II
gives a very good explanation on topics which are confused in many other textbooks, e.g., the unipolar generator and related issues with Faraday's Law.
A. Sommerfeld, Lectures on Theoretical Physics vol. III
this is my favorite theory textbook series for classical physics. Reading it, you understand, why the Sommerfeld school has produced more Nobel prize winners than any others. Unfortunately it's somewhat outdated in the notation concerning relativity (ict convention of the metric).
J.D. Jackson, Classical Electrodynamics
quite comprehensive. Only drawback is that in the newest edition he uses SI units instead of Gaussian units which destroys all the beauty and symmetry of electromagnetism. This desease it shares with many newer textbooks on electromagnetism.
L.D. Landau, E.M. Lifshitz, Course of Theoretical Physics, vol II
gives the relativistic point of view from the very beginning. Thus I like it even better than Jackson.
M. Schwartz, Principles of Electrodynamics
a marvelous book by a Nobel prize winner. Emphasizes also the relativistic point of view.
J. Schwinger, Classical Electrodynamics
has marverlous mathematical tricks to deal with the solution of Maxwell's equations. Schwinger is famous for his treatment of waveguides (i.e., not only for his famous works on QED).