I have some friends that didnt make the lottery last year. This is what they ended up doing:

1. Join a community college and take some classes to maintain your status.

2. Join Kaplan to get done with GRE/GMAT or what have you.

3. Find n marry a "reliable" chik.

I know a few people who went to Canada as well. They werent too happy about how things turned out. In particular:

a. You cant "move" from your initial state/province for 2 years.

b. You cant get a drivers lisence for 2 years.

Lately some dude was telling me such is no longer the case. I hope he's right. G'luk 2 u.