Many physics majors choose to take on a job instead of going immediately to grad school. Harvard's Office of Career Services facilitates on-campus recruiting for both seniors looking for full-time jobs and underclassment seeking summer internships.
Types of Jobs
On-campus recruiting typically focuses on Consulting Groups, Banks, and Hedge Funds, although these fields only form a small subset of all job opportunities. For other types of work check out Experience.com and monstertrak.com
Consulting
A consultant (from the Latin consultus meaning "legal expert") is a professional who provides expert advice in a particular area. Consultants differ from internal experts in that they are a separate business entity. In the big consulting firms, Harvard graduates sign on for a 2-3 year position and after a few years continue on to MBA or law programs, or pursue other paths. The big consulting firms - such as McKinsey, BCG, and Bain - hire all majors, although quantitative skills are more highly prised in finance. Smaller, "boutique" consulting groups specialize in all sorts of different things.
Investment Banking
Investment banks hire smart people with good personal skills, comfort with numbers, and experience in finance. Banking jobs are very demanding - sometimes requiring 100 hour workweeks - and often pay accordingly. Check out Goldman Sachs, Deutsche Bank, Bank of America, Citigroup, etc.
Software Development
The more computer science oreinted students often find jobs in software: Google, Microsoft, and other companies all recruit on campus.
Quantitative Finance
Hedge funds, trading groups, and most banks hire physics/applied math/computer science majors to study markets, develop models, and implement original strategies in a highly analytical way. Such financial companies are your best bet if you want to use the quantitative skillset you developed in physics. Some big quant companies include D.E. Shaw, Goldman Sachs, and a whole slew of hedge funds, which tend to be smaller and more secretive. One important class of positions are the "Quants" (sometimes called strategists or other names), who provide mathematical/technical support, and often write a lot of the software used by the company.
Academic Research
Many academic institutions such as universities and government labs hire physics people who want a different experience than grad. school. Ask your advisor for more advice about these occupations - personal contacts go a long way.
The Interview Process
Recruitment for full time jobs is the equivalent of one or two classes - don't let anyone lead you to believe otherwise. Resumes, cover letters, and interviews all take longer than they seem. In particular, many companies require you to travel to their home office for final round interviews, causing you to miss class. Internship interviews are a bit less stressful but still require a significant chunk of time.
Types of Questions
Knowing what to expect in an interview is a huge advantage. The following are some basic tpics of discussion in interviews.
Resume Walk: Most common in more qualitative professions, the Resume Walk is a chance for you to explain yourself to the interviewers. Resume Walks can be just a few simple questions or a thirty minute dialog. Be prepared to talk about anything you mention on your resume.
The Case Question: Most common in consulting interviews, the Case Question is a 10-45 minute business problem which you are expected to solve. Some cases require you to ask the right questions to get necessary information; others present you all the necessary data and require you to drive through to the answer. Proper top-down structuring is key. Profit = Revenue - Costs.
Order-of-Magnitude Questions: How much would the Hudsen Bay rise if everyone in the world jumped in it? How many bowling balls would fit into a 747 airplane? How much revenue could a starbucks on Martha's Vineyard expect to take in? These often silly questions are a piece of cake for those who are used to solving Fermi problems. You'll have to make assumptions - justify them. Think aloud and use a good top-down structure.
Logic Questions: Quantitative companies often will ask logical puzzles to see how well you can reason.
Quant Questions: Quantitative interviews can ask anything you've ever seen in a physics or math class. I was asked to derive closed-form solutions to summation formulae, image charge problems from E&M, and algorithms to find the answer to the 8-Queens problem. There are a few standard types of questions, however, and I hope eventually to list them here.
The most common set of questions I was asked was the following: Suppose we play a game where you roll a fair die and get your role in dollars...how much would you pay to play such a game (Answer: 3.5). Now, what if I let you re-roll if you don't like the first outcome...how much would you pay to play this game?
Resources
Case in Point is the canonical resource for consulting prep. The Wall Street Journal is very helpful for becoming familiar with finance. Liar's Poker is a good, fun book on investment banking and trading.
-- BailesBrown - 04 Dec 2006