It's like the others have been saying - leave no stone unturned. Bludge opening slots off friendly bands, as Rockonn said; do some research via the internet into the local (or the nearest) metal scene, as Elklander suggested. I don't know whether hard rock/metal music store chains like Hot Topic have billboards for bands etc. over your way, but if so, check them out - somebody may be looking for a band to gig with, and if not, put your own ad up. In places like these, you may also find copies of local/underground music magazines - pick one up and check out the classifieds and show advertisements.

If you've tried numerous avenues and you're not having much success, don't rule out setting up your own gig. It might start with a set at a party, as Hunter said, but you might eventually like to investigate hiring a venue like a community hall and some PA gear - it may mean playing to 15-year-olds, but any start is a good start, and who better than the youth to make an impression on? If you guys are legal, scout around at local bars, especially the hard rock and metal-oriented ones, they sometimes have Open Mike nights, as the others have mentioned. Also sniff around at universities, they're always organising concerts of one form of another, and they usually have a sizeable population of metalheads as well.

If everything still isn't working for you, you can always go down the well-trodden path of recording demo tracks, posting them on Purevolume/Soundclick/Myspace/Unsigned MP3/other/all of the above, and getting noticed that way - if you build up enough of a following, you may be able to guarantee a sizeable audience for your first gig, and you may even get noticed by a metal label.

There are quite a number of other avenues as well, as the others have said, so don't despair :) . Lining up your first gigs is not easy, but it's far from impossible. And, as Hunter said, don't go jumping on any bandwagons that aren't your style - if you play music that reflects your creative muse, you will find an audience sooner or later.