Sometimes it works, and if they don't have any jobs available, what have you got to lose? You can get better results if you can call and name someone they know who has referred you. Also, it can put them on the spot to call and immediately ask for a job, so another option is to express interest in their business and ask if there is someone available with whom you could schedule an "informational interview." When you go to an informational interview, you are gathering information and referrals and finding out about how you can get involved in the business or a similar one. These can lead to job offers, but you don't want to pressure them by asking for a job in an informational interview. You can ask for referrals, however. Ask them, "do you know anyone who might be hiring in this industry?"

I sometimes send out resumes by email, particularly to places where I have applied and/or interviewed before, with a note that I am interested in case they have any new openings and wanted them to know that I would be available.