PRML is great. I haven't read PGM, but I took a relatively intensive course on it which had great lecture notes. Which I'd like to also suggest—lecture notes are often "skeletal books" which can bring you up to speed on a topic quickly given that you (a) are willing to work a bit more and (b) can fill in the missing fleshy bits with your own experience.

I'd also really like to suggest DGL (http://books.google.com/books/about/A_Probabilistic_Theory_o...) and Bickel and Doksum (http://www.amazon.com/Mathematical-Statistics-Basic-Selected...). These are two of my favorite core ML/stats books.