Wow, our server just went down and my long reply here was wiped out. ANYWAY, here is what I said in an abbreviated format.
I have been having good luck on the job search here in Washington D.C. and I know that this in part owes to my experience with relational databases.
1. Learn about databases if you don't know them already. Oracle is the best one to know. You might buy a copy of personal Oracle which you can install on your p.c. Alternatively, download one of the free online databases, i.e. MySqL or Postgres (I think).
2. Write a servlet that connects to this database via JDBC. If you can write a JDBC-enabled servlet, you will likely be able to land a job. To learn about servlets, read sun's online servlet tutorials (www.javasoft.com, under the "developer" category, or, as I HIGHLY recommend, read "Core Servlets and Java Server Pages," by Marty Hall. These materials will give you what you need to know. Learn about the Java JDBC interface (a much else) from David Flanagan's "Java Enterprise in a Nutshell," or from the jdbc tutorial at www.javasoft.com.
What's hot? Well, in D.C., servlets are huge, Java Server Pages (jsp), perhaps even more so. After writing a servlet or two, describing WHAT YOUR PROGRAM DOES in your resume, and after applying for a few jobs, then write a couple of JSPs. Learn about JSP from Hall's book or from online tutorials by IBM (hunt around on their "education" site), by Gamelan (look this up on yahoo) and other sites gleaned from a search on yahoo for "Java Server Page tutorial." JSP error messages will seem weird and frustrating for two days. Then, when you will realize that most of the weirdness derives from improper placement of jsp tags (e.g. "<", ">"), they will get alot easier.
Want a little pizzaz? Learn a little XML. To find out what XML is, read the comments by Frank Carver, et al. in the XML chat group on this website (Javaranch). Then buy "XML Step by Step," by Microsoft Press to start with simple applications writable on Microsofte explorer 5. There's also a good tutorial called "Learn XML in 11.5 minutes on the web on some website (maybe xml.com).
Want a little more pizazz? Go to Nokia.com and download their WAP wireless server emulator. Hunt around on the web for a tutorial on WAP-enabled servlets (there are several of these). Write one of the servlets, or (as I did), modify one of their examples. They aren't hard. However, these will appear as attractive tinsel decorating your resume, and may differentiate you as a job candidate.
Nevertheless, most important of all I have mentioned is to learn how to connect to a relational database and to display the information extracted from them on the web.