I think it is definitely better already to have a job if you are looking for a new one. You are coming from a position of confidence and strength that way, and I believe employers can't help but be slightly biased against someone who isn't working (Why don't they have a job? If they were laid off, how come they were chosen to leave rather than someone else? If they are out of the work force, have the lost skills/are they still current on new developments in the industry? etc.)
The sad fact that people who have a job are more likely to be hired into a new job is one reason the high unemployment rate is so scary — the longer someone is out of work, the harder it is to land a new job.