Now in the end of my MSc in physics I've been contemplating in enrolling in a Phd in theoretical physics. Before that I think I would do best to re-study some subjects. My question is then, what books should I follow for that? I'm thinking about getting a better understanding of classical mechanics and follow Goldstein's book and then use Griffiths' and Jackson's books for electromagnetism. Are these good books for a student who wants to have a deeper understanding of physics?
Goldstein's and Jackson's are the examples of widely used graduate level textbooks, however it should be used already in your MSc course. Griffith's in the other hand is widely used in physics undergraduate EM course.
I don't know the level of math and physics that you have, but probably it would be good to start studying Landau-Lifshitz's Course on Theoretical Physics. Keep in mind that the level of the book is advanced, hence the authors tend to omit some "obvious" intermediate steps, such that it would take "forever" to follow their derivation. The good side of the books is all the problems inside have solutions given by the authors.
You may also benefit from the consistency of the presentations due to they all written by the same authors.
A thorough overview of theoretical physics, from a uniform point of view and with lots of explanations is given in the 10 volumes on Theoretical Physics by Landau and Lifshitz.
Though not covering the newest things they start from scratch (though assuming some background that you surely have with a MSc) and are a nearly ideal foundation on which to build the newer stuff that you'll learn as a PhD stident.
My reading list with the goal to have books for a more advanced and different point of view on some topics and physics in general (which is maybe also interesting for you):
Mathematical Methods of Classical Mechanics - V. I. Arnold http://www.amazon.com/Mathematical-Classical-Mechanics-Graduate-Mathematics/dp/0387968903
Quantum Mechanics: A Modern Development - Leslie E Ballentine http://www.amazon.com/dp/9810227078/
Representation Theory: A First Course - William Fulton, Joe Harris http://www.amazon.com/Representation-Theory-Graduate-Mathematics-Readings/dp/0387974954/
The Quantum Theory of Fields 3 Volumes - Steven Weinberg http://www.amazon.com/Quantum-Theory-Fields-Paperback-Set/dp/052167056X/