As someone trying to get into the programming side you've got two main options.
Look for any internships you can find with game companies in your area. These are a great way to get your foot in the door. Many larger publishers use internships as a try-before-you-buy plan with students. If you can prove yourself in a real production situation then you will often find a job offer at the end of that internship, if the company has open slots.
However, please come into it with mindset to learn as much as you can. There are few things more annoying than a student who has spent a couple years in school and thinks they know how everything works.
Make Something, Show your Passion!
When looking at two inexperienced candidates if one of them has some software they can show that's certainly a leg up on someone that has nothing. It doesn't have to be a finished game, but obviously if another candidate has a game and you don't that looks better on them. Most importantly it needs to be easily demonstrated (have video of it running as well as the code) and you should be able to clearly explain what you did.
Note, you've likely made some projects in school, but so has everyone else and often similar projects. I'd advise against showing those unless they are very good, or you've taken them far beyond the class requirements. Think about the message you send with what you show. Class work says, "I couldn't be bothered to do more than the minimum." That's not the message you want to send.