Someone else mentioned this but I want to give another boost for the lab manual for the horowitz and hill's art of electronics - it's a little dated but still a great resource. For example I remember doing the project where you build a simple analog to digital converter. I had read the theory behind these devices many times without comprehension, but building the project illuminated it. I've also found the ARRL handbooks to be extremely helpful for getting RF and microwave projects to work without sinking huge amounts of cash on expensive equipment like vector network analyzers.
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