1. contribute to a significant open source project
2. write some significant work of software
3. design and build your own computer
4. build a robot something
5. work as an intern in industry
6. do work as a research assistant
When I was at Caltech, students did (entirely on their own):
1. built a gas powered helicopter from scratch
2. built a tracked robot with an arm and a manipulator
3. built an electronic synthesizer
4. built a functioning railroad that ran through the dorm
5. many built a single board computer for their own use
6. designed and built the campus radio station
7. one fellow designed, built, and sold custom speakers in the student workshop. After graduating, he turned it into a real business and made a fortune
and so on. In other words, turn yourself into someone useful to a company.
For example, one guy I interviewed spent all his time asking about what benefits he was going to get. He had no interest whatsoever in what he'd be doing, and what the company was doing. No hire.
Unfortunately, such is commonplace. This gives the savvy interviewee an advantage - approach the interview from the employer's point of view. Save your questions about how much vacation you'll get until after the employer has decided to hire you.
Showing interest in the company is very helpful. Asking questions like how does the company make money, what is their criteria for a successful employee, what does the division you're applying for contribute to the success of the company, what kind of person are they looking for, and so on.