1] Morse and Feshbach - Methods of Theoretical Physics (can be hard to
   find)

2] Mathews and Walker, Mathematical Methods for Physicists. 
An absolute joy for those who love math, and very informative even 
for those who don't.

3] Arfken "Mathematical Methods for Physicists" Academic Press
Good introduction at graduate level. Not comprehensive in any
area, but covers many areas widely. Arfken is to math methods
what numerical recipes is to numerical methods -- good intro, but
not the last word.

4] Zwillinger "Handbook of Differential Equations." Academic Press
Kind of like CRC tables but for ODE's and PDE's. Good
reference book when you've got a Diff. Eq. and wnat to find a
solution.

5] Gradshteyn and Ryzhik "Table of Integrals, Series, and Products" Academic
THE book of integrals. Huge, but useful when you need an integral.

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