If you are conducting a job search directed toward an out-of-state location, you can greatly improve your odds by establishing a local address in the target city or region. Employers are much more likely to respond to a local address on a resume.
The best way to do this is to use the address of a friend or relative. Next best is to use a local post office box. In either case, have any delivered information forwarded to you on a regular basis.
Although almost all companies will cover your interview expenses for traveling to the company-site after an initial on-campus interview, it is not a given when you are initiating first contact from out of state. When you have been invited in for a company-site interview outside of an already pre-planned personal local visit (in which case the expenses will be assumed to be yours), you should always ask the following, carefully phrased question:
"Will your company be making the travel arrangements for me?"
Straight and simple. If the company is making the arrangements for you and all you have to do is pick up your tickets, it's paid for. If you are expected to make the arrangements but the company will be reimbursing, you will usually be asked to save receipts. If you are on your own, you will be advised that the travel arrangements are up to you. You should still save your receipts—the company might reimburse you at a later date or you might be able to get a tax deduction (see your tax advisor for details on deductibility).
If the company will not be paying and you cannot personally afford the trip, before passing up the opportunity you might want to weigh it in the balance—this might be a really good time to beg for some money from Mom and/or Dad ("It's a lot better than being unemployed and living at home after I graduate" tends to open the purse strings nicely). You can also reduce your costs by driving (if it's a distance easily accessible by car) or by flying over the weekend and staying at a budget motel. Although $500+ might seem like a lot of money right now for what is not by any means a sure thing, it will seem like a pittance come graduation day if you are still without a job.
You might also consider setting up interviews with multiple companies in the area, which would help defray the per-interview cost and make it a more productive trip.
And as a last resort, if you really can't swing it, call the employer to advise that if there were any way to make it happen, you would. But you are just a poor college student who has spent your last dollar on getting this fine education—is there anything that can be done to bring you together for this meeting? Try it! Some employers will understand that you are eager to help out and will cover the costs. Last, last resort? Ask for Dutch treat—you pay half, I pay half. Last, last, last resort? Ask the employer to initially cover the bills, and if you are not worth every penny of the expense, you will write a check then and there. In fact, if you are confident and aggressive enough, you may want to try that technique when you first realize that the expenses might not be fully covered. Few companies would ever dare to ask for their money back from a starving college student for any reason short of fraud. As long as you are honest, this approach can be a winner in helping you further stand out from the competition.