The most common advice when you don't get an interview is to ask the company/HR executive for any feedback on your candidacy. I don't know about you, but I have only once ever gotten feedback from an employer. That said, you should still ask. Here is an advice column about three common interview mistakes.
The last mistake listed in this piece is not having questions, which boils down to not researching the company/position. You need to be prepared with enough knowledge of the company to prepare questions about the position.
Have you ever gotten positive feedback from an employer that you didn't get hired by?