The property of holomorphic functions that begets the behaviour you (and I) so admire is analyticity, i.e. the ability equate a function f:X→Y, over some open subset U⊂X, with its Taylor series expanded about some point x0∈X. As such, this notion can be broadened to RN, CN and is one of the defining properties of an analytic manifold. We meet such manifolds throughout physics. One place is in general relativity, gauge theories and other fields where differential geometry is heavily used, although, strictly speaking, much of the differential geometry that is used in something like GR can be done with much weaker assumptions than Cω (quick word on notation: a Cn function is one n-times differentiable in each of its arguments, a C∞ function one infinitely so (often called "smooth" function) and a Cω is an analytic function, i.e. a C∞ function whose Taylor series also converges). Moreover in general manifolds, one doesn't get a notion of a unique "analytic continuation" (although an analogue of this happens for Lie groups, see below); general manifolds can be spliced together in nonunique ways.
Another mathematical tool used in physics is the notion of a Lie group. Lie groups describe the continuous symmetries of our World - rotations, Lorentz boosts, translations, abstract evolutions in state spaces and the symmetries into Lagrangian formulations of particle interactions either as a result of an experimentally observed continuous symmetry, or one deliberately encoded into a theory to beget, through Noether's theorem, a conserved quantity in line with experimental observation of particle interactions.
A Lie group is a group whose group product can be represented by a continuous (take heed: I did NOT say analytic) function of co-ordinates labelling the group. Lie groups are always analytic (Cω) manifolds, even if we only assume continuous (C0) behaviour. Since you so admire the rigidity (the word mathematicians use to describe something that takes much less "information" to uniquely specify than one would intuitively believe), let this last statement sink in: we only have to assume continuous behaviour and analyticity automatically follows!. This amazing result, the solution to the so-called Hilbert's Fifth Problem, was the result of the work of Montgomery, Gleason and Zippin applied by Hidehiko Yamabe in 1953. One can go even further for compact semisimple Lie groups (ones that are compact and can be thought of as direct products of simple Lie groups, i.e. ones that have no normal Lie subgroups): for such groups, we don't even have to assume continuity, for there is no other abstract group structure even possible for such a Lie group so even the topology emerges from the algebraic structure alone and every group automorphism as an abstract group preserves the Lie group structure as well (van der Waerden, B. L., "Stetigkeitssätze für halbeinfache Liesche Gruppen", Mathematische Zeitschrift 36 pp780 - 786). The analogue of analytic continuation that holds in Lie groups is the unique definition of the identity-connected component given a specification of the group for any neighbourhood of the identity (or of any other point in the identity connected component). So the bits of the group joined to the identity are thus uniquely specified. Actually it is uniquely specified given the commutation relationships in its Lie algebra as well as the discrete information in its fundamental group. One can broaden a Lie group nonuniquely, however, to beyond its identity connected component. For more information, see my answer here.
In closing, returning to holomorphic functions of a complex variable: in this case, the notions of holomorphicity (independence of F(z)=∫zaf(u)du of path), analyticity and differentiability are all logically equivalent (any one can be derived from any other), but this is not so for more general sets. Indeed, for holomorphic complex functions, you don't even need the behaviour on a teeny tiny disk: such a function is uniquely specified by its values on any countably infinite set with a limit point.
This post imported from StackExchange Physics at 2014-03-30 15:19 (UCT), posted by SE-user WetSavannaAnimal aka Rod Vance