Especially if you are a grad student or a post-doc, employers are going to wonder whether you can make the transition from student to employee. Even if you are an undergraduate, it's likely you have been a student for sixteen years or so, with maybe a couple of summer jobs or internships to get a taste of business. How are you going to convince them?
This is one reason why an internship at some point is so crucial. If you have been working through college, that's the strongest argument. Make sure you highlight the fact even if you haven't been working in the field you've chosen as your career.
But you don't need to have a full- or part-time job. Look for on-campus groups, clubs, events and activities - even if they aren't career-related. If you can show involvement with these things, it shows that you have worked on teams and projects with other people, and have demonstrated commitment. If you've been in a leadership position in a fraternity, sorority or club for instance, that's even better.
You should also look for student chapters of professional organizations in your field. If they don't have a chapter at your school, start one.
Another good thing to do is to volunteer at professional organizations and foundations - especially if they are having a local meeting. Planning and hosting a professional meeting is great project experience - and a great way of making contacts in your field.