I recently came across two very good guides to the academic finance job market in a journal called Financial Decisions (formerly the Journal of Financial and Strategic Decisions).
The first one, titled "The Academic Job Market In Finance: A Rookie's Guide" is by Timothy Falcon Crack and Alex Butler. It's floated around the Internet for a while, and it's a pretty thorough guide to the job market for candidates at research-oriented schools. In addition to providing a lot of very helpful tips, it also lays out a timeline that would be useful for anyone just starting out graduate school - the choices you make in the first year or two are very important to your eventual job search.
note: they have a short update with a few additional pieces of advice here.
The second piece, by Delbert Goff and Stephen Huffman, is titled "The Finance Academic Job Search: What your Advisor Might Not Be Telling You". It's geared more towards the market for jobs at schools that are more teaching oriented. It has a very good list of questions to ask when you interview.
I wish I'd found these before FMA - they could have helped a few of the candidates we interviewed for our position.