One of the biggest mistakes I think people make is that the develop one resume and use it for all job applications. Each application needs to be reviewed, and your resume (and cover letter) should be taylored to highlight your experience as it relates to the position.
When you are unemployed, you really do have a new job the last day you work, and that is finding a new job. That means enhancing/continuing the education that you were completing in your last position, continuing to expand your network and working non-stop on fine tuning your resume, applying to positions, etc. Many people don't put as much effort into finding a job as they do when they actually are working in a position.