Knapp, Anthony W. Lie groups beyond an introduction. Second
edition. Progress in Mathematics, 140. Birkhauser Boston, Inc.,
Boston, MA, 2002. Contains a lot of material with complete proofs.
Thorough, but difficult to read if this is your first exposure.
Springer, T. A. Linear algebraic groups. Second edition. Progress in
Mathematics, 9. Birkhauser Boston, Inc., Boston, MA, 1998. Sure,
it's a textbook on algebraic groups, but there's plenty of
relevance for the study of Lie groups.
Freudenthal, Hans; de Vries, H. Linear Lie groups. Pure and Applied
Mathematics, Vol. 35 Academic Press, New York-London 1969. Bizarre and fascinating.