If you are not interested too much in details, the following book can play the role of a comprehensive companion: http://www.amazon.com/Unified-Grand-Theoretical-Physics-Edition/dp/1439884463 (A Unified Grand Tour of Theoretical Physics, by Ian D. Lawrie).

Truly comprehensive systematic introduction to theoretical physics can be found in the (many-volume) well known "Course of Theoretical Physics" by Landau and Lifshitz: http://en.wikipedia.org/wiki/Course_of_Theoretical_Physics as well as in the more contemporary German counterpart by Walter Greiner: http://onphysicsbooks.blogspot.ru/2009/01/walter-greiner.html