If you have the time and inclination then always tailor at least the covering letter to suit the job that you are applying for.
It's very easy, just take every bullet point from the job advert or description and reply precisely to it. This makes it easier for the hirer to see that you are a good fit. Otherwise they have to interpret and take a guess as to whether your profile is right or not. Most of them won't bother and your application will go in the bin so don't make them do the work for you - that's your responsibility.
The best book on job hunting that I've ever come across is What Color Is Your Parachute. It takes an alternative approach to job hunting and it works, if you follow the method properly. It's harder that just sending of letters and CVs willy-nilly but it does land you the jobs that you want.
Really liked the article that Angelique linked to - I hadn't properly considered that take on the job interview before.