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Daniel_Burfoot comments on Great Explanations - Less Wrong
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I don't have it at hand, but I recall the explanation of entropy, temperature, and the Boltzmann factor presented in the first chapter of "Thermal Physics" by Kittel and Kroemer being particularly clear, elegant, and direct.
More recently I enjoyed "Probability: a Survey of the Mathematical Theory" by John Lamperti. It is great for understanding things like Kolmogorov's 0-1 Law.