When I was looking for my first job out of college I got a bunch of newspaper job postings from lots of different locations and proceeded to mail out my resume and cover letter. I got absolutely nowhere with this approach. I was beginning to feel the cost of postage. After a few weeks of this I decided I had to try a different approach.
I contacted a professor I knew from school and asked him if he knew people looking to hire an engineer. This was a professor who was very well connected with industry and frequently had guest lecturers from industry talk in his class. Within a matter of weeks I had my first engineering job which was very impressive considering the economy was in a down cycle. I was actually hired at the same time as another young engineer who networked with the same professor.
I realize the growth of the Internet gives people many more options to help them find a job. However, I don't think anything can be more effective than networking with the right people.