In the U.S., we have almost no research masters programs. We only admit students into a Ph.D. Overall it works well, but it requires us to be very conservative in our admissions, since we are committing to have the student come for 5 years or so. This can be a particular issue for students that discover their interest in research late in their studies, at which point their application might not be as strong.
When students like that seek my advice, I often suggest they look at applying for research Masters program in places such as my alma mater The Weizmann Institute, or other universities in Europe, Canada or elsewhere. However, I realized that there may be other places I don’t know about.
If you know of a good research masters program for theoretical computer science, could you post about it in the comments?
Update: Some good information in the comments – thank you! If you post, please say whether this a program where students have to pay tuition or is a program where there is a chance that tuition might be waived and/or students could get a stipend.