All of the above except cold calling. I also don't recommend you show up on your local cable channel's local access channel. And I found that paid Internet advertising does work, but please go slowly in this regard or you could waste senseless cash.
Another thing that's important is that paid advertising really means that you need to step it up with your other marketing as well, meaning to put some polish on your site to the point of being ready to be placed on webcreme.com, even if you have to pay $100 for a template and customize. Another option is to purchase some 3D vector-drawn icons and build the site with Blueprint CSS or Grid960, being inspired by what you see on webcreme.com.
I also strongly believe in the power of marketing letters sent to businesses in your area who might want a website or to start taking orders on the web. I haven't done this yet, but am ramping up for it. A friend of mine in Austin did this with some success, as well as some rude guys writing him, emailing him, and calling him, but, oh well -- he didn't weep while putting cash into his bank. He told me that the letters need to be single page only because he did some split testing and found the single page letters work better. He said to neatly hand write the address info on the envelope -- not to professionally print the envelopes or they won't get opened. He also said to use a laser printer to print the text of the sales pitch, but do sign it in blue ink to give it a personal touch. He recommended including a refrigerator magnet or pen if you can afford it, but perhaps just a business card.
I didn't know what was the cheapest, best option on business cards, but a fellow developer I met on WickedFire.com gave me this info that worked well for me:
PK Graphics -- Get 1,000 full-color, high gloss business cards for cheap (last check: $47.50, delivered in the USA, which is pretty cheap in my opinion)
http://pkgraphics.com/index.pkg.asp
Someone told me to just make my cards in Ubuntu Inkscape, draw them up in the size of 338x203 pixels with a 1/8" gutter and a sort of thicker font (no fonts with lines 1 pixel wide), and then export as 600dpi, which automatically makes the image very huge. Next, I took Gimp to convert the export PNG file as a JPEG file, but with no compression and 0.5 smoothing (Advanced save settings). I then emailed PK Graphics the JPEG image for the front and back of the cards and gave them my mobile phone number, they called me to get my credit card info that evening and within 3 days I had the box of cards on my front porch. I found this pretty amazing because they were fast, cheap, and hassle-free.
The good news is that you really don't have to try hard for clients for too long. When you land about two, you're probably going to be fairly preoccupied from 2 weeks to 2 months before you're ready to take on any others.
And I think it's very important for newbie freelancers to realize that this industry is way beyond just getting a really good grasp of PHP, MySQL, AJAX, Javascript, CSS, and XHTML (if not design as well). No, it's much more than that. The competition from offshore guys is fierce. You have to know how to not only install other packages and frameworks, but get under the hood and customize them or take them in places they haven't been before. And that's time-consuming and not easy at all. In fact, you might find it's good to buddy up in "study teams" with a couple other guys and each learn a package and teach the others in order to cut down on time. Perhaps Meetup.com might be a good place to orchestrate that. For instance, here's a list of packages you might want to learn under the hood:
WordPress
ExpressionEngine
Vanilla
Drupal
Joomla
phpBB
vBulletin
SMF from Simple Machines
Code Igniter -- redhot right now
Zend Framework (used less now that Code Igniter is out)
Smarty
jQuery -- oh man yes
osCommerce
ZenCart
XCart
Magento -- redhot right now
And the list grows longer every year, along with intense competition from offshore guys, so it's very important to get study teams started and learn this stuff inside and out in order to be more marketable.