Ask HN: How to fully grasp Measure Theory?

I've been taking a class about discrete processes and so far, the introduction of conditional expectation had my head spinning because I don't fully understand the concepts of measure theory being used. What book or online resource helped you get a full and quick understanding of the topic?

Also, are there any professionals who use measure theory in their work? Like actual measure theory and not just the theorems it provides regarding stochastic processes and whatnot.

Thanks!