One way for physics majors to gain experience in a research environment is do an internship. These experiences can help students assess whether or not a career in physics is a direction that they will find intellectually challenging and exciting. Also, internships provide the student with an opportunity to apply the knowledge learned in courses to real world problems, often at the cutting edge of knowledge. There are many fantastic programs available (some are summer programs and other are during the school year). Most of these programs include some courses or seminars that help to broaden one's understanding of physics.
Program Links
Government:
Department of Energy – DOE (Science Undergraduate Laboratory Internship)
Association for Exchange of Students for Technical Experience
Industry