Looking for a job is miserable and looking for a job right out of college or in your early twenties is even worse. I wrote most of this in response too depressed person in another forum and thought it would be good here too.
I worked as a contractor for 12 years so every 12 to 18 months I was looking for a new job here's what I learned:
1) start with the understanding that the job search process from start to finish would take me about +/- 3 months. That's three months of constant resume updates, job submissions, phone calls, and dozens of interviews just to get one good offer.
2) update your resume and ask for feedback Nothing is more worthless than a resume with a spelling error. Ask friends or people in the industry for feedback on your resume. If you're in college ask a professor. It sucks and sometimes it's hard to hear but in the end you'll have a better resume. But when you're done you can ask these people if they know of any positions or contacts to assist you in your search.
3) the Bullet: hardly anybody reads a resume so when i get an interview I always start off with this "did you have any specific questions about something on my resume?". If the answer is no I would give them the bullet which is a one minute or less summary of my skills and my job history.
4) Practice makes perfect. Practice your interviewing. Do a Google search for Star interview questions and practice how you would respond. Practice turning a negative into a positive. Practice in front of a mirror and look yourself in the eye as your talk. Consider every interview as practice. I've even been known to apply for jobs that I had no interest in just so I could get the practice.
5) Go into your interview with a list of 10 questions about the company and make sure you ask at least some of them. It shows you're interested in the company and the people. Questions can be simple like a "tell me about your background and how you got into this role" or "tell me about the career path of the position" or "Tell me what makes a good candidate." I have a ton: "what do you like about this position?". "what can I expect my first 90 days?" "Once I get familiar with the organization how do you see my role evolving?"
If you know something about the industry or how the job ask questions about what unique challenges they face and try to position yourself as someone who a partner and interested in trying to solve them. Bonus points if you can point to something on your resume where you did something similar. NOTE: be humble about it and stay away from telling them how to do it. Qualify it with "I don't fully know your specific situation but we had something similar and X worked" or "that sounds very interesting situation I'd like to know more."
6) if you don't get the job there's no reason why you can't contact them why they went in a different direction or with a different candidate. Let them speak candidly and offered no defense just say 'thank you and I hope it's okay if I apply again in the future."
Keep in mind it could easily not have anything to do with you. Working in management I can tell you that it's not uncommon to post position externally when you already have an internal candidate in mind. Also, the position could have lost funding, management might have changed; there could be any number of reasons why and none of them have to do with you.
And if you don't get the job so be it. Consider it practice and be thankful and move on to the next one. I firmly believe that every person has a skill that they can bring to any job. If this company isn't interested the next one will.
Hope this helps and good luck!