Having basically completed my PhD, bar the administrivia, I've got myself a job. It was surprisingly simple. A trader e-mailed me asking if I'd like a job working on a fairly interesting project, I said 'maybe', I came for an interview/look round, and I got a part-time job. 6 months later I went permanent and full-time.
I'd never really considered investment banking before, as I'd always been put off by the recruitment stuff looking for highly-motivated go-getting blah blah leaders of tomorrow, rather than people who want to write good code. Fortunately, it turns out they hire those too occasionally. The industry has constantly surprised me (in both positive and negative ways).
So, what's my job? It's working on a Monte Carlo farm. What's that? It's a way of using several hundred PCs to work out how much complicated deals are worth (pricing), and how to manage them so the bank doesn't fall over when the stock market moves (hedging). It's all actually quite neat.