you're not alone in this, I too like physics very much and I too have experienced that suffering during the boring classes and ridiculuous stupid tests (in France, for one year). I think that the problem really is in the teachers and the educational system. In my experience, most of them would never talk about something interesting or important, and never encourage you to think and discuss these things during/after the classes. Instead they would fussily recite what they read on the topics from the ridiculously overloaded syllabus, putting heavy stress on the formalism and requiring you to do tortuous calculations that bring you nothing except good visage in your class. Often I could not find good sense of what the actual physical question is; the problem is just a recipe, do this do that, plug. Eq. 23 into formula 34, integrate, expand and wow great we have the result, but what the hell was the question? My impression from the tests is pretty much the same, the stress is on some too specific and technical points with null importance and the grade pretty much random.
I too enjoy and learn physics far more efficiently if I get the book or an article I find interesting. I think this is in fact the important part of proper learning physics; no classes can teach you what folks really thought and did before you. You have to read them.
In Prague, the teachers and the system brings more freedom for the student and I liked it much better than in France, but still I feel the courses, most of the teachers and researchers and the research itself is repelling me.
I am going to finish my master this year, so I thought a little bit about what to do next. What I think are two best options (which I am considering now), if you like to do theoretical physics, are
1) Do your master with best notes your can get, while certainly saving time for your own thinking about physics. Neglect the courses, if you need to. Your thinking is much more important, productive and most of all, enjoyable! During the master, think of a topic you are best in and likes much enough and try to find a professor who is not too busy with assigning the work to his PhD. slaves and with non-scientific agenda and who does something compatible with your topic. Ask him whether he would be interested in this topic and in accepting you for PhD. Then, I hear, the harassment with courses and other stuff will be lower and it is possible to concentrate on science much better.
2) Finish the master with as small effort as possible, just for getting the grade and then forget entirely about academia. Try to find a good job which is not too time-demanding but will keep you alive, and do your physics in your free time. This option implies zero harassment about how and what you should think which, in my opinion, is best for theoretical physics. The disadvantage is less time available for physics, less direct contact with other physicists and less directly available resources (books, online articles). Fortunately, nowadays we have the Internet, so it is possible to get much information and publish online. Certainly you won't be without feed-back.
I think I prefer slightly the first option, but only if I can find a topic and a prof. I can believe in. Still thinking about the second possibilites though...
So, this is what are my impressions, I hope it will help you somehow...