I'd like to add a bit to mgb_phys excellent post.
Government - While it takes a bit of practice to make sense of the government job listings, there are always a fair number of physics jobs hiring. These range in duties from engineering work to scientific research, tend to pay a bit less than your other options, but can lead to lengthy careers.
Military & Civilian Military - The military hires physicists now and then. In the US it is primarily the Navy and Air Force that do so. Personally I find it hard to spot a great research job among their duties, but they have lots of neat engineering work available. Civilian military groups also hire physicists with some regularity, and again job duties range from research to engineering.
I'd like to comment on one item in mgb_phys post. My research has confirmed that Wall Street hires physicsts as quants, but the number of hires is extremely small and varies wildly over time. I believe a good argument can be made that the number of hires for this work in the 90's was a bit of a fad. Further, as mathematics and business departments add classes and majors addressing the duties quants perform the demand for people who haven't had that particular education is dwindling. While it deserves its place on a list of things physicists do today, I would warn against going into physics as a method of getting that job, because it may not stay on that list for long.