Note: I will expand this question with more specific points when I have my own internet connection and more time (we're moving in, so I'm at a friend's house).
This question is broad, involved, and to some degree subjective.
(I started out as a physics-only student, but eventually decided to add a mathematics major. I am greatly interested in mathematics; the typical curriculum required for physics students is not deep or thorough enough; mathematics is more general (that means work!); and it only requires a few more classes. Naturally, I enjoy mathematics immensely.)
This question asks mainly of undergraduate-level study, but feel free to discuss graduate-level study if you like.
Please do not rush your answer or try to be comprehensive. I realize the StackOverflow model rewards quick answers, but I would rather wait for a thoughtful, thorough (on a point) answer than get a fast, cluttered one. (As you probably know, revision produces clear, useful writing; and a properly-done comprehensive answer would take more than a reasonable amount of time and effort.) If you think an overview is necessary, that is fine.
For a question this large, I think the best thing to do is focus on a specific area in each answer.
Update: To Sklivvz, Cedric, Noldorin and everyone else: I had to run off before I could finish, but I wanted to say I knew I would regret this; I was cranky and not thinking clearly, mainly from not eating enough during the day. I am sorry for my sharp responses and for not waiting for my reaction to pass. I apologize.
Re: Curricula:
Please note that I am not asking about choosing your own curriculum in college or university. I did not explicitly say that, but several people believed that was my meaning. I will ask more specific questions later, but the main idea is how a physics student should study mathematics (on his or her own, but also by choosing courses if available) to be a competent mathematician with a view to studying physics.
I merely mentioned adding a mathematics major to illustrate my conclusion that physics student need a deeper mathematical grounding than they typically receive.
And now I have to run off again.
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