The title really is the question, but allow me to explain.

I am a pure mathematician working outside of probability theory, but the concepts and techniques of probability theory (in the sense of Kolmogorov, i.e., probability measures) are appealing and potentially useful to me. It seems to me that, perhaps more than most other areas of mathematics, there are many, many nice introductory (as well as not so introductory) texts on this subject.

However, I haven't found any that are written from what it is arguably the dominant school of thought of contemporary mainstream mathematics, i.e., from a structuralist (think Bourbaki) sensibility. E.g., when I started writing notes on the texts I was reading, I soon found that I was asking questions and setting things up in a somewhat different way. Here are some basic questions I couldn't stop from asking myself:

[0) Define a Borel space to be a set $X$ equipped with a $\sigma$-algebra of subsets of $X$. This is already not universally done (explicitly) in standard texts, but from a structuralist approach one should gain some understanding of such spaces before one considers the richer structure of a probability space.]

1) What is the category of Borel spaces, i.e., what are the morphisms? Does it have products, coproducts, initial/final objects, etc? As a significant example here I found the notion of the product Borel space -- which is exactly what you think if you know about the product topology -- but seemed underemphasized in the standard treatments.

2) What is the category of probability spaces, or is this not a fruitful concept (and why?)? For instance, a subspace of a probability space is, apparently, not a probability space: is that a problem? Is the right notion of morphism of probability spaces a measure-preserving function?

3) What are the functorial properties of probability measures? E.g., what are basic results on pushing them forward, pulling them back, passing to products and quotients, etc. Here again I will mention that product of an arbitrary family of probability spaces -- which is a very useful-looking concept! -- seems not to be treated in most texts. Not that it's hard to do: see e.g.

http://www.math.uga.edu/~pete/saeki.pdf

I am not a category theorist, and my taste for how much categorical language to use is probably towards the middle of the spectrum: that is, I like to use a very small categorical vocabulary (morphisms, functors, products, coproducts, etc.) as often as seems relevant (which is very often!). It would be a somewhat different question to develop a truly categorical take on probability theory. There is definitely some nice mathematics here, e.g. I recall an arxiv article (unfortunately I cannot put my hands on it at this moment) which discussed independence of events in terms of tensor categories in a very persuasive way. So answers which are more explicitly categorical are also welcome, although I wish to be clear that I'm not asking for a categorification of probability theory *per se* (at least, not so far as I am aware!).

countableproducts of probability spaces, he does remark on converting the proof to an arbitrary product (p. 259). – user2734 Apr 8 '10 at 16:16