Former career counselor tells Andrew Sullivan that they're mostly a waste of time, unless you have a very specific technical skill. Other suggestions:
Do contact employers directly and consistently, and contact them before they have job openings. The old nostrum that "if a job is posted, it's been filled" is generally true. The reality is that 80% of jobs are filled via personal connections and relationships. It really is like high school; people hire people they know and like. Think of everyone you know, even your worthless brother in law, as a potential connection to a job, either directly or indirectly. Your resume should be the last thing an employer sees, because the first thing they should see is you in person.