You could move some of the cost to index-creation time by converting the per-row indices into flattened indices:
In [1]: a = np.random.random((5, 6))
In [2]: i = a.argmax(axis=1)
In [3]: a[np.arange(len(a)), i]
Out[3]: array([0.95774465, 0.90940106, 0.98025448, 0.97836906, 0.80483784])
In [4]: f = np.ravel_multi_index((np.arange(len(a)), i), a.shape)
In [5]: a.flat[f]
Out[5]: array([0.95774465, 0.90940106, 0.98025448, 0.97836906, 0.80483784])
I haven't benchmarked, but I suspect this will be faster if you're using the same index multiple times.