I'm working on my PhD in Chemistry, I used to be a theoretical student and have transferred to experiment.
One thing I've learned lately is that theory has gone in a really different direction than its heyday in the early 1900s. There was alot of unexplained observations and, frankly, Einstein was fucking brilliant. Special/General relativity were entirely thought up in his own head, with no experiments to back them. On the other hand, quantum mechanics had been begging for discovery since the photoelectric effect.
The 1900s were a massive period of consolidation for physics and science...we're in an exploration period again. These days, theoretical people tend to focus on new algorithms to solve 3 body problems, and frankly, working out the massive consequences of everything we've achieved in the past 100 years. Think the period after Newton's Principia before Maxwell's equations. Right now, we're looking for the equivalent to Langrangian and Hamiltonian mechanics, Hooke's law, etc etc. We're getting there with things like density functional theory, but theres a LONG way to go.