Feynman's Lectures on Physics

Very much this. I'd recommend using these books as adjunct material. I found them indispensable as an undergrad when I was struggling to shift from a mathematician's rigor-and-proof perspective to a physicist's intuition-and-approximation perspective. However, I don't think I could have come close to passing my QM or E&M courses, even with a mathematical background that was stronger than most of my peers, if I'd only used Feynman to learn the physics.