Good question - unemployment isn't much of a problem from what I understand, but underemployment (employed in a related field) is. It's important to meet as many people as possible. I went to the biggest grad school that would accept me and that I felt I could succeed in (U. Texas Austin) because they had TA support, and people working in almost every subfield (I wasn't sure what I wanted to do). Beyond working hard (my advisor: "every time you're eating an ice cream cone, some Caltech weanie is at the computer lab working, and that's who you're really competing with, not those here in our department"), give a lot of presentations at meetings and in house. There's a book "Don't be such a scientist: Talking substance in an age of style" by Randy Olson that's pretty good. Anyway, yes, it's not easy, and your reward if you make it is a smaller salary and longer hours than if you'd just focussed on money... but it's a great gig if you can get it. Oh, and I have been at a relatively small school with a higher teaching load - that's still the norm unless you're a real star.
Good luck and have fun,