Wired's How-To Wiki has a nice step-by-step walkthrough covering how to get the most out of your cellphone's signal. It starts with the basics you should know, like about the general crappiness of cellular tech vs. other forms of broadcasting, and all the other things that'll make your signal weak and your oh-so-social life miserable. Obstructions like walls, mountains and fat people; RF interference; weather; and your phone's antenna placement are all things than can dilute your signal to a tiny, staticky trickle. From there, using the power of deduction you can figure out what's hosing your reception and try a couple different fixes. Most obviously, you can actually move your ass, but if your whole house is in a virtual dead zone, there are a range of gizmos like external antennas and repeaters, but be wary of crap boxes promising miracles—they only exist in the X-Files. Lastly, you can always call your provider to tell them they suck, and where exactly their suckiness is the suckiest, underlined with the vague threat you'll switch to the other guy, and pray that they'll fix it. If you've got other tips, lay 'em down in the comments. [Wired How To]
Those "stickers" that Joseph pictured above do provide some benefit....or at least they did pre-3G. I've had some phones with bad reception and would get better signal with one of those stuck in there.
Something else to consider is to switch to a phone that picks up signal well. I had the 1st gen RAZR and it would get signal in all sorts of places that no one else did. It's small and light enough that I guess I could carry it around if I truly needed to be connected somewhere.