Generally, mathematical employment falls into one of two categories (although there is occasional overlap): Academia and Industry (including working for the government).
If you really enjoy teaching and/or think you would fit in well as a faculty member at a college or university, consider academia. If you don't really care for teaching, you may want a job in industry; i.e., working for a private company or for some branch of a local, state or national government.

• If you're unsure about what you want to do in the future, take a wide variety of courses, try to teach your own courses, and talk to other grad students and faculty about the possibilities of employment after graduation. You probably won't know you like or don't like something until you've tried it.
  
• If you think you want a non-academic job, your best bet is to make contacts out in the real world. Try to find summer internships. Ask faculty at your university if they know of anyone working outside of academia and if they could put you in contact with them.
  
• If you think you want an academic job, you need to think about what kind of academic job you want. Do you want to work at a research university with a low teaching load but with a great expectation for original research? Do you want to work at a primarily teaching institution with little or no chance to do research? Many people choose a middle road, but even then there is a wide range to consider.
  
  • If you want a research job, you will probably need to get a postdoc after graduation. This will be a 2-3 year position where you can hone your teaching and research skills, probably while working with an expert in your field other than your PhD advisor. (Often times, one needs to have had a postdoc in order to get a teaching job at a prestigious liberal arts school as well.) To get a postdoc and later a research position, you will want to focus more of your time in graduate school on research and less on teaching. Some schools offer research assistantships to some students in place of teaching assistantships Attend conferences and meet faculty from other universities. Knowing people helps!
    
  • If you want a teaching job, try to teach a wide variety of courses and think about how you can improve your teaching. You can't avoid research, but you will need to find a healthy balance of teaching and research.
  
  
• When applying for jobs, you will have a better chance at getting the job you want if you decide beforehand what time of job you want and cater your applications to that end.