For experimentalists and computational physicists, I would say you could be doing things that would be more useful than taking pure math courses such as improving your lab skills through advanced lab courses and taking more scientific computing courses, and doing more research.
For theory however, regardless of whether you want to go into particle physics, condensed matter or mathematical physics, you're going to have to know a ton of math.
Classes that'll be useful regardless of the theory subfield:
I second micromass' suggestions on the first 3 classes:
- Point-set topology. This stuff isn't directly useful, but a lot of math is based on concepts from here such as algebraic topology and differentiable manifolds.
- Calculus on manifolds (usually offered as "Analysis II"). So I second micromass' suggestions on the first two classes.
- Proof-based linear algebra. This depends on how good the class you took was. A lot of the courses that are just concerned with crunching matrices don't really give you an understanding of the stuff you should take from a class on LA. If you're confident in your understanding of general vector spaces, linear functionals, transformations, diagonalization, inner products then you don't need this. If not, certainly take it.
- Complex Analysis.
- Representation theory and Lie algebras/groups.
- "Math Methods". While this kind of class usually isn't rigorous, it's still a good way of getting familiar with doing computations with green's functions, PDEs and what not which are skills every theorist should master.
Mathematical Physics:
Functional analysis is the bread and butter of mathematical physics, from what I can tell at least, since everything in rigorous quantum mechanics and quantum field theory is based on that.
Hardcore particle theory (strings, loops etc):
Everything: All of the above (maybe not functional analysis) along with Algebraic and Differential Topology, Algebraic and Differential Geometry and a whole bunch of other topics.
Another thing I found useful to get some direction as far as what math courses to take, is to browse through some advanced mathematical physics texts (Hassani, Stone, Nakahara etc) and see what they cover.
Disclaimer: I'm an undergrad who hasn't studied a lot of these topics himself, but this is the general impression I've gotten from browsing through books, papers and talking to professors.