What books would you recommend to learn physics, being a a Math major, from classical mechanics, electricity, etc. to modern physics?
As for mechanics I'd recommend:
Stefan Banach - Mechanics (1951)
Arnold VI - Mathematical Methods of Classical Mechanics
I also recommend Griffiths books:
Griffiths - Introduction to Electrodynamics
Griffiths - Introduction to Quantum Mechanics
If you want a solid and consistent approach to physics from the theoretical point of view (I assume that as a mathematician you don't want an experimentalist's point of view) then you can't go past the series by Landau and Lifshitz - "Course of Theoretical Physics" (Amazon).
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Michael Spivak gave me a small volume he wrote on mechanics from the mathematicians perspective, and he is said to be preparing to release a longer book on physics explicitly for mathematicians. In the meantime you might like Max Born's Atomic Physics. I myself enjoyed, and learned from, at least looking at J.C.Maxwell's E&M.
I will assume you are getting started - once you finish the equivalent of the first year of calculus-based physics, then you should dig in / branch out depending on your interests (optics, dynamics, modern physics - i.e. 20th century - E&M, etc.)
For an overview of it all, I recommend the Feynman Lectures on Physics, supplemented liberally with any of the solid textbooks (such as the following) and I suppose some Wikipedia. I like the Feynman lectures because they are entertaining, conversational, and provide a great insight into physics. Here are some example introductory texts - I can personally vouch for HLR.
Frankly, I recommend you go to the syllabus of the introductory, calculus-based physics from a school you respect and select that textbook as a reference.
I did a physics major as an undergraduate, in addition to my studies in mathematics and engineering. I still find that the first year's material is the most useful content, although I think that the concepts covered in introductory Modern Physics courses are really cool. If you are interested, in addition to the Feynman lectures that I have read on the side, I was quite impressed with the text we used: Modern Physics - Serway, Moses, Moyer. While remaining very readable, it provides more of a textbook approach, whereas Feynman is a lecture style.
These books have more math than the typical introductory physics textbooks. But they also introduce the "physicists" way of thinking (e.g. how to gain physical intuition).
I started in math as an undergrad (topology/geometry) and then went into physics for grad school. I know your pain... :) Most of the books people have suggested already are excellent works that provide physical intuition and if you're going to do some physics for real then make sure you read 'em. That said, most of what was mentioned does NOT present stuff the way a math guy likes so -- assuming you are a junior or senior in a math undergrad program -- my recommendations are,
For geometry and dynamical systems as applied to Classical Mechanics:
For (functional) analysis applied to Quantum Mechanics:
For Lie Groups and using them like a physicist:
For understanding quantum and path integrals:
You gotta understand rotation stone cold:
And differential forms are required:
For general relativity:
For stat mech:
and for a final one-shot book that tries to hit everything under the sun: