When one learns a new area of physics often the biggest hurdle is learning a new area of math. For example:
Classical Mechanics -> Calculus of Variations (Involves integrals of functions of functions)
Electricity and Magnetism -> Vector Calculus (Involves integrals over surfaces and volumes of vector functions)
General Relativity -> Differential Geometry (Involves integrals confined to special types of "surfaces" (called manifolds) in higher dimensional spaces)
Quantum Mechanics -> Partial Differential Equations and Linear Algebra (Partial Differential Equations involves and Enormous amount of integrals with dozens of approximations schemes (Legendre Expansion, Laguerre Expansion, Associated Laguerre Expansion, Hermite Expansion, etc.) all filled with integrals). Also Complex Analysis (The calculus of functions that take complex numbers as inputs (i.e. the have an imaginary component, \sqrt{-1}))
Quantum Field Theory -> Gaussian Integrals (much of the physical research of QFT has been guided, hampered and pushed forward by progress in solving Gaussian Integrals), Calculus of Variations
This list is certainly not exhaustive and one should definitely not come away from it thinking that in Electricity and Magnetism, for example, one ONLY uses vector calc. All the main calculuses: Real Calculus (the calculus of functions of real numbers), Complex Analysis (the calculus of functions of complex numbers), Functional Analysis/Calculus of Variations (the calculus of functions of functions, so called functionals) are ubiquitous in every area of physics. Those plus a healthy super-sized helping of linear algebra and algebraic theory gets you pretty much all of physics. Suffice it to say integrals are everywhere in physics and knowing how to deal with the different ways they show up is MOST of the heavy lifting for a physicist.