I graduated last fall with a degree in Sport Business and now I work for a professional soccer team in Los Angeles (Chivas USA). I agree with a lot of what has been said so far. The Sport industry is tough to break into, it is a "glamour" industry so there are many applicants for every position.
My advice would be: make sure that you have a passion for working in sports. If you are just a fan, this is not the job for you. You can make a lot more money and work a lot less hours outside of sports. For instance, a typical work day for me is 8am - 6:30/7pm, but a gameday will be roughly 8am - 11:30pm.
Also, if you do have the desire to work in sports there will be a position for you. You should be flexible and be able to move around a lot. Remember there is generally only a handful of teams/agencies within a city, rather than thousands of other businesses.
Go to as many conferences/job fairs/seminars as you possibly can and get to know as many industry professionals as you can