The last time I was looking for a job, I got tired and discouraged from checking multiple sites for openings every day. So I decided to have the job posts come to me in the two places I already checked regularly: my e-mail inbox and my RSS aggregator. (Since the shutdown of Google Reader, my go-to is Feedly.)
Let's look at how to set up alerts on a few different sites.
On Indeed.com, the job post search engine I recommended last week, when you do a search, you'll see a box in the upper-right that says "Get new jobs for this search by email" with a spot for your e-mail address. There used to be a button to create an RSS feed, but you can still copy the URL from your results page into an RSS aggregator and new postings matching those search criteria will show up in your feed each day. You can create multiple alerts if you're interested in several different job titles.
Many other job websites have the option to subscribe to e-mail or RSS alerts. Idealist.org, which posts job, internships, and volunteer opportunities at non-profits, also has buttons on its search results page that says, "Email me new results" and "RSS." (The RSS feed requires copy/pasting the URL into your RSS aggregator.) Once you know what to look for, you can go through each of the sites where you typically look for job postings and look for these e-mail or RSS alert options. It probably goes without saying, but only pick one alert method, or else you'll get the same job posts in two places.
However, not all sites you want updates from have these easy-to-use options. For example, you may be interested in openings at a particular company, but not want to have to check their Jobs page every day. For this situation, I use the site page2rss.com. You put in the URL you want to monitor and then put the resulting URL into your RSS aggregator, and whenever something changes on the page (e.g., a new job is posted), the new text pops up in your RSS feed. If you're more of an e-mail person, you can use watchthatpage.com to have website changes e-mailed to you.
You may have to weed through some irrelevant postings, but you have to do that anyway when looking through job posts. This saves time by bringing all the new updates to you.