Most important is to keep looking, and not let the search get you down (which is hard, for sure). Remember that looking for work is a full-time job.

My current position I found through a connection, and that doubtless helped, but I've gotten jobs before through responding to university postings and craigslist ads. I've also been turned down at plenty of places that I've found both ways - for any given position, most of the time you won't get it (of course, since there are going to be multiple candidates).