You WILL have to learn programming sooner or later. Most mathematicians, physicists, engineers, etc. are familiar with programming and use it in their daily research.
And there is no reason at all why you can't combine programming with straight science. Here are some ideas of things you can do:
If your interest is mathematics, then you can try to solve things in Project Euler:
http://projecteuler.net/ Very challenging exercises. They will help your math skills and your programming skills.
You try to build a simulator of a three-body problem in physics. You can use this opportunity to study some chaos theory, dynamic systems, basic physics, etc.
Or you can try to model two bodies and then investigate what happens in your simulator. You can use this to study ellipses and conic sections. Maybe you can even read up a bit on calculus to prove Kepler's laws.
A favorite hobby of mine when I was learning to program is to look at mathworld for basic stuff and then program them in a computer. I learned a lot of math and programming that way.
Or you can write a program that simulates evolution and genetics in biology, if that's your thing.
Or make some Monte Carlo simulations. An interesting problem, for example, is the following: say that you want to marry a girl. There are 100 suitors and you which to pick the best one. You are placed in a room and get to see the girls one by one. So, the first girl comes in. At that point, you have to say whether to marry her or not. If you don't marry her, then you can never marry her again. In that case, the second comes in and you will have to do the same thing. If you reject all 99 girls you see, then you will HAVE to marry the 100th one.
What's the best way to get the optimal choice? I wrote a computer program once to solve this. After you did it, you might want to derive the result theoretically.
This is one example of a Monte Carlo simulation. There are many more. Another question: what is the most popular spot on the monopoly board?? What's the best thing to buy??
Programming is certainly something you can do NOW. And you'll benefit a great deal from it in the long run. And perhaps you'll even find it fun.
It's basically impossible to do innovating research. You don't even know what you don't know and what the unsolved problems are.
Other projects can include building something: dismantle a radio and try to put it back together. Those sorts of things. If you're into engineering, then this'll be useful as well.