Good books on "advanced" probabilities

I'd recommend Klenke's Probability Theory.

It gives a good overview of the basic ideas in probability theory. In the beginning it builds up the basics of measure theory and set functions.

There are also some examples of applications of probability theory.

I think Chung's A Course in Probability Theory is a good one that is rigorous. Also Sid Resnick's A Probability Path is advanced but easy to read.

I like Olav Kallenberg's Foundations of Modern Probability - about as complete and up-to-date a textbook as you can find on the subject.It's not easy reading,despite its well written nature, because Kallenberg really packs a LOT into it. But it's certainly worth the effort. I personally wouldn't try and learn measure theory from it,though-it'll definitely be much easier going if you've already had a graduate real analysis course.