I am in my senior year majoring in Applied Math and Statistics. I have yet to graduate and I just landed a great job with just 6 days of job hunting (that includes a weekend). The job is not in finance, but the experience I had should help you get some insight into your question, and details on how I pulled this off.
In any job market, employers in fields that require technical knowledge (such as finance) are looking for the most knowledgeable people willing to work at a given salary range. In a good economy, people can be competitive largely on the basis of academic knowledge. However, another significant determinant of an employee's value is what I like to refer to as "actionable" knowledge. This is knowledge that a person is readily capable of translating into work, and therefore the bottom line of the employer.
For the sake of simply demonstrating the relationship between the two, I will use rather arbitrary numbers: A person has a 3.9 GPA with a minor internship for 2 months giving them an actionable value of 1.5 out of 3. Therefore 3.9 * 1.5 = 5.85 = the person's value to the employer according to the resume. Another employee has a 3.3 gpa but started their own business in a similar field in while in college giving them an actionable value of 2.5 out of 3. This gives them an employee value of 3.3*3.2 = 8.25. For the sake of making it so that a person with a degree always has some added value, keep the minimum actionable value at 0.8 or something, irrespective of experience.
There are other variables such as attitude, college attended, and so forth, but these are the two primary factors. These calculations aren't exactly mathematically sound as representative models (for instance, a good college could improve the actionable value. I also pulled these numbers out of thin air). I just gave these numbers as a rough demonstration of the point I am trying to convey: College proves you have knowledge, and you need to be able to have knowledge and proof that you can convert that knowledge into action to get ahead - especially in this economy. You can start at a very entry level job to gain that proof of knowledge, but there are other ways to accelerate this process.
I highly recommend you stack up on proof of your ability to translate academic knowledge into action. One way to do it is to assess what specific skill sets your target career is looking for and work on projects of your own. One good way to do this is to read a page after page of job posts across different job sites such as hotjobs and on corporate sites themselves and look through the requirements. Identify requirements that you can work on through your own efforts. For example, many finance jobs prefer people that are familiar with software such as Matlab. So, teach yourself matlab and work on some data modelling of your own. Or, try constructing your own method for assessing companies and create a simulated portfolio. Post this stuff on the web and develop a following if possible. It seems absurd, but even that can get you some level of legitimacy; Even the shephard, though followed by sheep, is a leader. You can create a portfolio section and add this stuff to your resume. Even though your academic background will be the large chunk of your resume, this will help you stand out a lot. If you can land internships, that's even better since its more likely to yield something productive. Keep in mind that with any projects you do on the side, if that project is applied as a commercial endeavor, it makes you stand out. The only time something might be better is if you developing a huge open source project (someone accomplishing this in a 2 year timeframe, if ever, is very unlikely).
No matter what, try to develop a referal network. One problem I had was that so much of my projects and work was done on my own (such as running my own business), that coming up with referals became difficult. If you have trouble developing professional referals, maintain good relationships with professors since they can serve as referals as well.
IMPORTANT NOTE: As you develop points of actionable knowledge, it might tempting to forget about your studies. Do not fall into this trap. Your education is the most important thing. It is tempting to start thinking "I can do this own my own, so forget college". If you are smart enough to head out on your own, that's great. However, having the backing of a college degree means you have the freedom to fail and still have some good fallback; This affords you a great level of confidence and freedom that will reflect in your decision making. If you really are smart enough to work on your own today, don't worry, you will be even smarter after you're done with school. At the very least, your opinion on matters relevant to your field of study will usually be given more credit even if you could have learned on your own.
As for how I pulled off my "great job in 6 days in a crap economy": I am in school to head into the finance field, but I spent the past 2 years working on a web startup of my own. For a myriad of reasons, I did not end up launching it, but the work I did on the code for that startup demonstrated just how much I can do. Even though I did not go into school for computer science or IT, I landed a great job in that field that most people with 5 years of experience would have trouble landing - even in a good economy. It's a different field, but it is still something I am passionate about. Had I not had such an impressive portfolio of personal work, I would have been another name in the pile of people with just their GPA's listed next to their name. Also, I had done so many side projects of my own and studied so much that I was able to confidently tell the interviewer: "If you throw a problem at me, I can either figure out a solution right now, or figure out how to figure out the solution". I backed this statement through a demonstration (they gave me a tough problem they had, I gave them an implementable solution), so it wasn't just some arrogant rambling. I was not nervous; I was having a candid conversation with the interviewers. I had the confidence to be blunt, honest, and inquisitive while maintaining a strong sense of professionalism, and not coming off as arrogant but not timid either; This is the kind of thing those "learn how to act in an interview" videos on youtube try teaching you. As a result of my studying and experience, I wasn't acting - that's just who I was.
IMPORTANT NOTE: Despite me getting hired based mostly on actionable knowledge, this is a very rare case. In reality, it almost always takes a good blend of actionable and academic knowledge to get hired (and many times referrals).
Long story short, keep your GPA up and develop actionable knowledge. Do this buy interning and working on side projects. If you have to pick just one type of actionable knowledge, I'd recommend interning since it helps you develop a professional network, but please try to do both. And as I said before, keep your GPA up - it will help you greatly, especially in finance.
Also if you can, go to grad school. The salary goes up immensely, and the challenge of finding a job also decreases. If you go for a doctorate, even better. It seems like a lot of work, but it is well worth it. You will essentially get paid to think out loud.
Best of luck to you.
