Personally REU programs are a lot of fun... I cannot stress that enough. The one I went to was great... we had a very diverse bunch that was surprisingly very active. The REU projects were designed by the professors themselves and it really varied on the type of professor that advised us. Some were given a lot of attention and offered jobs next summer (my roommate was given a job that Fall semester!) and others were shoved in the dark. For me... well I was a part of a theory group that shoved me in the corner and gave me a tabletop desk (no keys to the drawers). I don't blame my adviser (he was a pretty important and busy theorist, after all)... the grad students got to me. Don't get me wrong, some REU students had great grad students that hung out with them, went to bars on weekends, and gave them some awesome advise. Luckily an undergraduate at the institute helped me along with my project, he also realized I wasn't the "typical" physics student... so, a lot of our time spent together was talking about ideas we've had that were non-physics related. He really inspired me, so I spent much of my time away from that cubicle and did my work in courtyards, libraries, my bedroom... I even sat at the park in the downtown area, haha. I pretty much learned how to learn there. I taught myself everything I needed to know (minus little hints given by my adviser). I was driven to show my adviser I was worth something... I guess he has that effect on people. I did an impressive enough job that my adviser told me to bring the project home. But, there is almost no professor willing to help me at my home institute. If I stayed at my home institute for the summer I would have never worked on the project I worked on, which was a great project btw.
My advise is to APPLY TO SEVERAL REU programs. Even if you feel you're a long shot. Show you have potential. If you get in produce results, have fun, and spend some time away from home. I've always had a fear of leaving home and right now I go to school about an hour's drive from my home(s)... I feel the program broke that barrier. Also, you can always bring the project home after the program... some students who worked in the lab spent the last 4 weeks just collecting data, patiently and tediously (they were not going to repeat experiments), because what some of them did was analyze data back at home. Also, you can try to do both over the summer. What I did this past summer was spend the month of May at my home institute working with my research adviser... then I spent a week at a relatives (corresponding with my adviser via email). Finally I spent 10 weeks at the REU program. I then went home, marveled at livestock (and how they awesomely resembled dinosaurs) for a week... then fall classes started.
Some things I think every undergraduate should understand is that the more fun you have with physics (with less stress and worry) the better you'll be. You'll release endorphins (corny I know) and you'll tell your mind its something enjoyable. Hell I find myself laughing at a problem, after building an image in my mind, referencing it to some hilarious internet clip or South Park episode. I've even been modeling multipole magnetic field lines in Mathematica all semester long (outside of my junior E&M class) on the basis of it "looking" cool. My projects in GR have even inspired some art projects... drawing fractal images has also gotten me obsessed with chaos theory (along with mentions of a chaos theorist in my all-time favorite movie/book: Jurassic Park, written by my all-time favorite fiction writer Michael Crichton
Oh, and do research as often as you can. What I've found out recently is that, in all honesty, presenting papers and going to conferences are just "perks" to research for me. I don't necessarily do it as a resume builder... I do it only because it excites me.