Here's something I wish I'd had when I was graduating from portfolio school. It's a site called The Creative Ham, which is a working list of ad agencies by city. Everyone knows Goodby's in San Francisco and Wieden's in Portland. But if you really, really want to work in Denver or Philadelphia or Houston, their Forever Incomplete List of Agencies will give you a good start. There are great shops everywhere.
The Creative Ham was designed by Alex, a portfolio student about to graduate from The Book Shop. High-fives to Alex.