We should also mention Penrose's "The Road To Reality" in this subthread. While it is essentially insane as a commercial/popular publishing project, I suspect i

We should also mention Penrose's "The Road To Reality" in this subthread. While it is essentially insane as a commercial/popular publishing project, I suspect it is also one of the best attempts to survey all of maths and mathematical physics in one location. Unless you have a PhD in mathematical physics, you will not be able to read all of it profitably. However, I suspect it might be a useful set of signposts for someone attempting to learn mathematical physics, to come back to again and again (over the course of, say, a lifetime). I'm sure it has some idiosyncracies (his graphical tensor notation I don't think has caught on that much in the field, and is likely to cause some surprise to anyone who hasn't seen it before) and controversial treatments of some areas, but in general I think (as someone firmly in early undergrad math territory) it is a fantastic book. The illustrations. Those have to be the best collection of informal attempts to illustrate physics-oriented maths that exist.