I definitely second what St Andrews Lynx said about undergraduate research. (In fact, I actually just posted about that on my blog.) It's a really important way to make sure that you actually like what you'll be doing in a PhD program. If you're still not sure, I wouldn't be too quick to toss out the terminal, thesis-based MA as an option. They are less likely to be funded (and, as you pointed out, some schools don't really have them), but if you can get one it would be a great way to (productively!) make sure that research really is one of your passions.