Best way for me to enter into Data Science?

[Athenaeum]

I recently graduated with a Master's Degree in Statistics. However, I do not have any relevant work experience or internships. Should I first try to obtain a Data Science internship, or go for entry-level position right away? It seems that most internships want you to be currently enrolled which is not the case for me.

Any advice you have would be greatly appreciated.

[micseydel]

It really depends on the position (the requirements are often listed), but here's my general experience...

• Internships require / strongly bias toward students.
  
• New hires can start with just a master's and no work experience.
  
• You'll find yourself competing with people who have similar education and more experience; if you want to stand out, I highly recommend personal projects, blog posts, and if possible then some heavy networking as well (e.g. Meetups if they're available in your area).
  

Depending on how much time you have available and your desperation, it probably won't hurt to apply for jobs that you don't seem fully qualified for. (This tends to be true generally as well.) My observations are meant less to discourage and more to give you some context about how your time is best spent if it's really limited.

[Athenaeum]

Thanks a lot for your advice. Do you know of any good examples of a "personal project"?

[micseydel]

Personal projects I've had:
A tool for cleaning up pirates MP3 files (very old).
A tool for executing arbitrary tasks via text message; this was particularly useful back in ~2005 when I had unlimited texting but no data plan.
A tool for visualizing my Nike+ running sensor data.
Simulation of a trading card game.
A recent project I haven't really started coding - a tool for organizing tasks in a dependency graph, which would be a superset of the feature of Google Inbox, and would likely integrate with email generally and maybe Trello or something as well.

Those aren't very data-oriented, but when I interview data scientists I still see that kind of thing as a big positive. If you can find / get a hold of data, that's a huge plus. If you have contacts at your university, that could be great, otherwise you can look for "open source" data. Ideally, you'd find something you're passionate about and then pursue the details from there, but it really depends on how luck you get as well.

[sparkz_alot]

Another source of employment, that I find a lot of people overlook, is local, state and federal government. Their pay and benefits are now pretty competitive. The drawback (at least on the federal end, is you may need to relocate). On the plus side, they have one site where you submit your resume which is then sent to all departments of the government, except the military, I think you still have to go to them separately.