In this economy the answer is anything and everything.

Drop resumes off at employers.
Mail resumes out.
Talk to people in the field that you know and see if they can pass your on.
Check company websites many accept resumes even ifthey have no openings.

I will be in the same boat soon enough, I'm majoring in accounting to work in finance. Hard market every where right now, especially in finance among others, but don't give up. The best thing I ever learned when I was 12, It's who you know, not what you know. Beside the normal, hit the streets with resumes, start networking. Find business, finance, investments clubs, and other social gatherings. Even people you went to school with. Maybe they end up getting a job and could get you in. Be sure to let people know you are looking and what you have to offer. You never know who you will meet or when you will meet them. I have meet some of the best connections at odd places like gas stations and bars. Just met two stock brokers the other day at a restaurant. Good Luck!

Try to work at a low-level local firm to get your foot in the door. They don't pay much, but it is better than being jobless