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Thermal Physics. 2nd Ed.; Charles Kittel/Herbert Kroemer (W.H. Freeman and Company, New York, 1980).
A standard text used broadly in physics departments across North America and parts of Europe and elsewhere. And for good reason, in my opinion. The text starts from fundamental principles of large systems, and the counting and combinatorics of arranging them, and builds from there to introduce the consequences for thermal physics / statistical mechanics. A reasonable book to learn from, it is also a good book to hold onto as a reference to come back to in the future, presuming that you don't make thermal physics itself your main research focus. So, it strikes some reasonable balance between introducing you to the material, in a tutorial style with details, and providing fairly dense ideas and descriptions the way a good reference does. This may make you happier about the amount of money you spend for a book you might otherwise only use for a few months.

References

Thermal Physics; Daniel V. Schroeder (Addison-Wesley, San Francisco, 2000)
A brand-new book, which starts from heat and work and develops thermodynamics from energetic principles familiar from first year, rather than concepts of counting (which are central to the deeper physical approach in my opinion). It does slide then into counting principles to begin describing the second law or thermodynamics. It is a book that looks more like the way an experimentalist might approach understanding the subject, because it is quite empirical rather than conceptual. I think it is a very useful reference for those in the course who find it practically impossible to understand Kittel and Kroemer, and otherwise it's a good book to browse through after getting a good statistical start.

Statistical Physics, 2nd Ed., F. Mandi (John Wiley and Sons, New York, 1988)
A book with a more historical introduction - beginning with thermodynamics, by which I mean a set of laboratory laws and phenomenology. The book goes on to describe the 'microscopic' physics by which thermodynamics begins to make physical sense. If you prefer to approach the subject by seeing first what people were able to figure out empirically, and then to get a sense of the evolution of the whole body of theory behind it, you might like this book best. For me, I preferred the 'fresh-start' approach of Kittel & Kroemer, and then to see what the natural consequences are for the statistics of large thermal systems. Available in paperback.