Every single one of the Russian students who were in my program in grad school (Princeton Plasma Physics) went to Novosibirsk. I'm not sure if it was just undergrad (or the equivalent) or if some of them also did a Masters equivalent there as well. I suspect a few had Masters type degrees since they were older.
There are certainly some good programs in Europe too, but I'm not really familiar with them; I'm more familiar with the experiments. Whatever universities in the UK are associated with Culham (JET and MAST experiments) would probably be a good start. I think Imperial College is one of them based on one of the big names in UK plasma physics works there. Other projects on the continent to possibly look into are TEXTOR, ASDEX Upgrade, Tore Supra, and W7-X (still being constructed). ASDEX and W7-X are associated with the Max-Planck-Institut für Plasmaphysik, which has two sites. There must be some kind of graduate program associated with them. Italy also has a project or two (RFX). Lastly, I know there is an RFP in Sweden too (which used to be based in the US). I do not know how vibrant their lab is, even though Alfvén worked there.
I know you didn't ask this, but there are quite a few world class projects in Japan as well. JT-60U and LHD. Probably associated with University of Tokyo, though there is some good work going on at other universities as well, like Kyoto.