Econometrician Bruce Hansen has recently come out with a two-volume work on Probability and Statistics (volume I) and Econometrics (volume II). IMHO this is a major achievement in data science education. I encourage almost any student of data science to check it out. Just wanted to point that out.

Edit: Since this is light on some topics, I mention some other great resources

• Ben Elsner Causal Inference Videos
• Mathematical Monk Machine Learning Videos
• Cornell Machine Learning Videos