Eddy Merckx did his last pro race in 1978, so that isn't too modern. I've looked some of these guys up people mentioned and there victories just pale in comparison to what Eddy Merckx has achieved imo.
You need to train daily if you want to be a professional cyclist. These guys ride 150km 5 times a week. It's just not possible to chose another sport. The problem with Jim Thorpe is, his records aren't amazing compared to today's standards(at least in athletics)
However, it's truly amazing that he can jump over 1.963 meters without training. I can jump over 1.70 meters with just knowing the basic technique, so I know how impressive it is what he has done. But if you take a look at the world records today...







