The Anacapa Society is a professional organization promoting research in all areas of theoretical and computational physics at primarily undergraduate institutions.
If you are at such an institution, I would recommend taking a look and perhaps joining. In my views, undergraduate research is one of the best things about an undergraduate institution. What better way to learn physics than by doing physics. My institution is primarily undergraduate and I can say that although working with undergraduates has it's challenges, it has benefits also. I think it is the thing that smaller schools can offer students.
At large research I type universities, the focus is on research primarily with graduate students. At smaller schools that don't have grad students, many of the roles are filled by undergrads. This gives them opportunities to not only conduct research but also give presentations and perhaps even publish. Its really difficult to teach that kind of stuff in a class.