Graduate students in statistics often take (or at least have the opportunity to take) a statistical computing course, but often such courses are focused on methods (like numerical linear algebra, the EM algorithm, and MCMC) and not on actual coding.
For example, here’s a course in “advanced statistical computing” that I taught at Johns Hopkins back in 2001.
Many (perhaps most) good programmers learned to code outside of formal courses. But many statisticians are terrible programmers and would benefit by a formal course.
Moreover, applied statisticians spend the vast majority of their time interacting with a computer and would likely benefit from more formal presentations of how to do it well. And I think this sort of training is particularly important for ensuring that research is reproducible.
One really learns to code in private, struggling over problems, but I benefited enormously from a statistical computing course I took from Phil Spector at Berkeley.
Brian Caffo, Ingo Ruczinski, Roger Peng, Rafael Irizarry, and I developed a statistical programming course at Hopkins that (I think) really did the job.
I would like to develop a similar such course at Wisconsin: on statistical programming, in the most general sense.
I have in mind several basic principles:

be selfsufficient

get the right answer

document what you did (so that you will understand what you did 6 months later)

if primary data change, be able to rerun the analysis without a lot of work

are your simulation results reproducible?

reuse of code (others’ and your own) rather than starting from scratch every time

make methods accessible to (and used by) others
Here are my current thoughts about the topics to include in such a course. The key aim would be to make students aware of the basic principles and issues: to give them a good base from which to learn on their own. Homework would include interesting and realistic programming assignments plus create a Sweavetype document and an R package.

Basic unix tools (find; df; top; ps ux; grep); unix on Mac and windows

Emacs/vim/other editors (rstudio/eclipse)

Latex (for papers; for presentations)

slides for talks; posters; figures/tables

Advanced R (fancy data structures; functions; objectoriented stuff)

Advanced R graphics

R packages

Sweave/asciidoc/knitr

minimal Perl (or Python or Ruby); example of data manipulation

Minimal C (or C++); examples of speedup

version control (eg git or mercurial); backups

reproducible research ideas

data management

managing projects: data, analyses, results, papers

programming style (readable, modular); general but not too general

debugging/profiling/testing

highthroughput computing; parallel computing; managing big jobs

finding answers to questions: man pages; documentation; web

more on visualization; dynamic graphics

making a web page; html & css; simple cgitype web forms?

writing and managing email

managing references to journal articles