Sorry this is happening to you. I was laid off a couple of months ago. At least you know it's coming... I got the "today's your last day, go clean out your desk" treatment.
I would start by looking for something that's either the same as, or similar to, the work you're doing now. That will probably get you hired most quickly. But while you're looking, it doesn't hurt to prepare for something less directly related to your field. I'm currently studying for a certification in a field that's only tangentially related to the work I was doing - once I get certified, I'll be able to pursue two types of jobs instead of just one.
If you've seen an opportunity advertised, it can't hurt to apply for it. Even if you don't get the job, it will be good interviewing practice.
State unemployment agencies, though, are the spawn of the devil. Yes, they give you unemployment checks, but they make the checks contingent on your going in and attending certain workshops. They have the mentality that if you don't find a job right away, it means you don't know how to look for a job. It has never crossed their minds that people aren't finding jobs because the economy SUCKS @$$ !!! (sorry, I just had to get that out
)
Good luck!