Graduate School for Theoretical Physics First off, let me just say that I am unsure if this question is appropriate for this site, and if the community deems it necessary, the question should be closed.
So right now I am a fourth year mathematics and physics major whose research interests lie in quantum field theory / quantum gravity.  In particular, I would like to go into theoretical physics.  However, I have found that most physicists do not achieve a level of rigor I would strive for in my work, and so I am reluctant to apply for graduate school in physics.  On the other hand, it seems that in most mathematics departments in the U.S., there are at most a couple of mathematicians working in what you might all theoretical physics, and I would not feel comfortable applying to a graduate school banking on the fact I could work with a specific one or two persons.
What possible routes are there that I could take if my interests lie in theoretical physics, but I wish to practice theoretical physics as a mathematician would?  Furthermore, are there any (not necessarily American) universities with a joint mathematics-physics department (like the DAMTP at Cambridge), or, the next best thing, a mathematics and physics department that collaborate frequently?  What about theoretical physicists working in quantum field theory/quantum gravity who don't shy away from rigor?
Any and all input is greatly appreciated!
 A: If, as you say in the comments, your research interests lay in placing QFT on a firm mathematical foundation, you likely do not want to do theoretical physics research, but instead mathematical physics research (algebraic QFTs and the like).
In this case I would browse prominent math department websites and find mathematical physicists who are doing the kind of work you are interested in.
Some specific places, based on my experiences applying to graduate school two years ago:


*

*The Perimeter Institute would probably not be a great fit as they are generally much more interested in generating new knowledge.

*UC Berkeley's mathematical physics program seems quite likely up your alley

*My undergrad research mentor, Matilde Marcolli at Caltech, does some great stuff in this area. She is unfortunately the only person in the Caltech math department that has similar interests, but it's worth checking out. Noncommutative geometry is awesome.


Also, one of my best friends from undergrad is in the math department at Chicago and had research interests very similar to yours; I'd be happy to introduce you two over email if you email me, and maybe he can provide a perspective that the internet can't.
A: First, I should say that I'm in almost the same position as you, except I'm a third year undergraduate.
I think that if you're thinking about problems of quantum gravity, you should apply to a physics department for graduate school. Looking around the arXiv, it's easy to conclude that there's no single accepted level of rigor in the theoretical physics community - some theorists have more of it, and some theorists have less of it, and it doesn't seem to be correlated with the depth or profundity of ideas. 
Also, as a side note, keep in mind that your interests will change. You say that you're into "putting QFT on firmer footing" now - who knows what will excite you a couple of years down the line?!
A: The reason I have been asking about your perception of rigor in the comments is because I believe it is very easy for undergraduates to be misled by questions like Gil's on the role of rigor. This is talking about something more than simply using correct mathematical reasoning, but instead about making all arguments and postulates fully precise, in a way which undergraduates are rarely exposed to.
Physics courses are not really a good indication of the level of rigor among theorists within a given department, but rather the level of rigor they expect undergraduates should be exposed to. In a mathematics department the expected level of rigor for students is higher, because mathematicians must be rigorous. In a physics department, however, the bar is often a bit lower. This is because the department is training not just theoretical physicists, but also experimentalists too (and indeed these generally make up the majority of the class). The is a lot of physics known, and so there is a trade-off that needs to be made between rigor and the amount of material covered. Additionally, some courses will be taught by theorists and some by experimentalists, and the lecturer will not always be teaching in their area of expertise.
As a PhD student, all of this changes, because the level of rigor you are working at will largely depend on your field, your approach and your supervisor. It won't be the sort of compromise that is necessary when dealing with large classes in a diverse department. For this reason I strongly agree with Moshe's comment above

I don't think this is a particularly efficient way to make life decisions. Instead, maybe it is a good idea to speak in person to a few professors, postdocs and grad students (Chicago should have great people to talk to) and seek advice specific to you and your preferences. When you do that, bear in mind that physics/math research is nothing like UG courses, and perhaps it's not a good idea to have a priori ideas on how things are or should be, before you have more experience.

To give you a concrete example of how rigor is not determined strictly by department, I have had positions either as a PhD student, postdoc or faculty in each of the following: Mathematical Physics, Materials Science, Computer Science, Combinatorics & Optimization and Physics. Many others are in the same boat, spending time in one department before moving to another, not because their research interest changed, but rather because there are multiple departments which consider their research "on-topic" so to speak.
Further, while Cambridge has DAMPT (which for the record is different from DPMMS, their pure maths department), Oxford has the Peierls Centre for TP within physics, and has a separate maths department. Do you think that there is a substantial difference in the type of faculty they hire? 
There most certainly are different flavors of theoretical physicist, with varying concerns about the mathematical underpinnings of their field, but the type of rigor you talk about seems not well correlated with department.
A: As a former Chicago undergraduate who also majored (you're not supposed to call them "concentrations" now?) in math and physics and also, for a while, felt mildly disgruntled about the lack of rigor in physics, I have to say: your opinions as an undergraduate might feel a little ill-considered when you're a little older. Theoretical physics is a really intricate structure with a lot of internal consistency checks. It is not yet rigorous mathematics; rigorous versions of QFT lag far behind what we actually know about QFT. Field theory and string theory are very rich subjects, and I don't think the lack of sharp definitions is really problematic most of the time. There is a lot that can be rigorously shown once we take for granted that the theories exist and have certain properties.
If you want to be a mathematician, that's fine, and there are things like topological field theory that you might be interested in. (Look up what's happening at the Simons Center at Stony Brook, for instance; that's a place where it seems like people are doing serious mathematical physics.) But if you want to be a theoretical physicist, at some point you'll have to learn to stop worrying and start making non-rigorous assumptions to make progress.
(Also, at the risk of offending people, you should be wary of overly-rigorous approaches to "quantum gravity"; from what I've seen, often the rigor is making it harder to notice that they're giving deeply unphysical results.)
A: Personally, I think someone with your interests would be more at home in a math department than a physics department. There has been a lot of interesting activity in recent years at the intersection of math and physics with things like topological field theory, noncommutative geometry, and the Langlands program. These mathematical topics are some of the most promising lines of research for people seriously interested in quantum gravity.
Here is a list of math departments that are very strong in mathematical physics (and some possible advisors):
Berkeley (Auroux, Borcherds, Frenkel, Reshetikhin, Teleman)
Caltech (Gukov, Marcolli, Simon)
Chicago (Beilinson, Drinfeld, Ginzburg)
Columbia (Greene, Khovanov)
Harvard (Gaitsgory, Jaffe, Lurie, Yau)
MIT (Etingof, Kac)
Penn (Donagi, Pantev)
Texas (Ben-Zvi, Freed)
Yale (Frenkel, Goncharov, Kapranov, Zuckerman)
Some others that aren't as difficult to get into are 
Kansas State (Crane, Soibelman)
Riverside (Baez)
If you really want to work in a physics department, there are some places that take a more mathematical approach. I don't strongly recommend it, however, because you'll be signing onto a very specific research program (like string theory or loop quantum gravity) which might never pan out. Some possibilities are 
Harvard (Vafa)
Penn State (Ashtekar, Bojowald)
Perimeter Institute (Smolin)
