Good idea for a thread OP! I have been in the same situation in the past (but not now) so I do know what it is like. My advice is keep going.
One thing I would say is keep a record on the computer on your job search. By that be specific as you can.
So don't just say "looked in newspaper!"
For ALL companies you apply to you SHOULD have as many details from this list as you know:
Job Centre or Company Job Reference Number
Name of a person who you have applied to in the company
Postal Address of the Company
Website Address of the Company
Email Address of the Company
Telephone Number of the Company
The date you applied
How you applied (i.e. did you phone, or did you visit the company yourself, or was it by post etc.)
What the company response was
What you will do next
This makes it easier for you to follow up your job search.
"Hi my names David, I emailed your company on the 3rd February 2013 in response to the Job Centre advert. Its been a couple of weeks now and I haven't heard anything, so I thought I would phone up, just to check you recieived the application."
One thing I would also say is apply 3 times to a company. The first follow up should be after 2 weeks, and then after 6 months.
And good luck everyone. I know what it is like the advice I give is something I had to do myself once.