I did my first serious attempts at querying last month, and I way overdid it- basically, I spent a whole morning checking out sites, finding e-mail addresses, and sending the letter to anybody who seemed connected to my genre. It worked out fine for me; I got a bunch of rejections (my favorite was the first, from an agent who called me "Yak-O," which isn't really anything like "Zack," but it amused the hell out of me), but there were a couple interested parties from very reputable firms.
Still, if I had to do it again, I'd go with blackbird's method. Mine was more an act of desperation- "If I don't start doing this now, maybe I never well"- than actual professionalism.