If you want to do particle physics/atomic physics, then there are a couple of courses you could take. Concerning math, you should consider especially group theory and in particular representation theory, which is inevitable in elementary particle physics. The stuff you'll need is representation theory of the Lorentz and Poincare group as well as the SU(N) groups and this is probably the only case when it is good to take such a course from a physicist, because the mathematicians almost never treat these topics in courses like Abstract algebra or Lie group theory (even though these subjects are interresting as such). In addition, as already suggested, you could take a graduate course on Mathematical Methods for Physicists (covering some PDE's, contour integration, Green's functions,...).
Now, this was what an ordinary particle physicist needs, but if you want to go further than that and see really the beautiful mathematical structure beyond the physical theories, you might also consider courses like: Differential Geometry (used everywhere in physics, especially GR and also Gauge Theories), Functional Analysis (used for a rigorous formulation of QM and also for advanced methods of solving PDE's), Complex Analysis (especially contour integration, but also for general knowledge (or perhaps complex geometry later on)), Topology (also general knowledge to see the frequently recurring structures in other mathematical fields (esp. diff. geo or later alg. topology)). Advanced calculus should be of course the first on your list if you haven't taken it yet.
Particle Physicists are also doing a lot of computer simulations, so some knowledge of C++/FORTRAN would be helpful.