A job search is a rigorous endeavor filled with stress. With that in mind, I hate to add another task to a jobseeker's plate, but you have to document your job search thoroughly. Before anyone rolls their eyes at this suggestion, please hear me out as to why documenting your job search can be uplifting.

As for what to document, I suggest that at a minimum you keep a record of the job position you applied for, the company you applied to, the date of your application, a list of what materials (resumes, cover letter, etc.) you send and any responses you receive from the company. The image in this post is an example of a basic format for documenting your job search.
Now, the main reason for such documentation is likely not what you were expecting me to state. Yes, keeping tabs on the positions you apply to helps make sure you don't submit more than one application to a job/verifies you sent materials requested. Additionally, for those receiving unemployment benefits, this record could provide data requested by the Unemployment office to substantiate that you are making an effort to look for work (see unemployment office for specific requirements). These important reasons are still not the main reason I advise clients and students to document their job search.
After being laid off and needing to find a new job, the layoff beginning the week before my wedding, I became depressed and struggled to eat and sleep. I think you can imagine the stress I was under; it is stress I find most endure when jobless and searching for work.During the 10 weeks I was unemployed, looking at a list of jobs I applied to helped keep my spirits up during a tough time. My job search chart (similar to the image above) help me maintain order when I was otherwise in chaos. Being able to see that I was getting interviews and making a serious effort was empowering (I think my documentation overwhelmed the unemployment office staff who were at a loss on how to assist an Anthropologist find work). I was fortunately able to find a better job in a poor economy even with an Anthropology degree (take that all you who trash Anthropology degrees). A lot of my success was due to my remaining positive, and that positive frame of mind was due in no small part to my documenting my efforts to find a new job.