Perhaps not truly life-altering, but I'm currently somewhat regretting not having taken a formal course in Computer Science to complement my physics education. The problem with being self-taught isn't so much that there are gaps, but that you don't know where the gaps are, and you don't have the language to discuss (or Google) them easily.

Turning from myself to others, I see many physics graduate students who would benefit vastly from just one introductory formal course in programming - not computer science per se, just basic programming concepts. Flow control, scope, pass-by-name versus pass-by-reference, what's an object, what's the difference between a class definition and an object instantiation, what does it mean to call a method on an object. These are all things that it's possible to pick up by osmosis, especially for people as smart as physics grad students tend to be (although, admittedly, this is not an invariable rule...), but you can flounder quite a bit in the year it takes you to do so. A quarter, even a semester, of organised instruction would save time overall.