Most undergraduates take "Modern Physics" as their fourth physics course, which serves as an introduction to physics concepts that will be covered in more detail later in the undergraduate program. It's okay to miss this session if you want to study the advanced topics independently, however going over these concepts now in your own studies can help you understand the advanced issues you hear so much about and that most likely drew you to physics in the first place. The fundamentals of relativity, quantum mechanics, atomic physics, nuclear physics, particle physics, and cosmology will all be covered here. 

Here I recommend studying Concepts of Modern Physics by Arthur Beiser. 

By this point, you should have finished the introductory calculus books and are ready to move on to more advanced mathematics. You should start working through linear algebra, complex analysis, real analysis, partial differential equations, and ordinary differential equations (See Page of Mathematical Methods in Physics)