I know most people would immediately say that the more you know, the better - so keep busy learning a new skill (or refining an old one), keeping up on the news for the industry I want to get into, and similar activities. Wanna work in art history? Do some independent research. Keep writing visual analyses like you did in school to keep your observation keen. Volunteer in a museum so that you can gain practical experience working with art. There's lots of competition out there, so make sure you have plenty to offer!
I certainly don't disagree that these things aren't important, but I wonder if it wouldn't be better to work on physical appearance. I mean, everyone claims that pretty people are more likely to be hired than their homelier counterparts. It's an ugly thought, but it's probably true. So if I am out of shape, maybe I should try to tone up. If my appearance is sloppy, I should figure out how to dress myself so that I will look good for interviews. I will have to learn how to style my hair (I don't even know how to put it into a bun so that it'll stay put) once I'm done with school, and while some people would say that's trivial and silly, I suspect that a good-looking exterior will make the job hunt easier and more successful - assuming I'm otherwise a qualified candidate.
Again, I'm not saying that one shouldn't be improving skills if unemployed, because that's definitely important. But if I only had an hour a day to either work out at the gym or read a career-related book, I think that a person might be better served if he or she goes the sweaty route.