Dropping by a business to ask for a job application can be a good idea, but go dressed for success.
You never know who you'll meet when you walk through the door. Receptionist, manager, or janitor, everyone you meet matters. If the receptionist hands over your resume to the boss you don't want her to say, "He dressed in shorts and a tank top." If you wouldn't wear it to work, don't wear it to drop off your resume or fill out an application.
Go in dressed in clean, professional clothes. Even for a construction job, clean khaki's and a button down shirt go a long way in showing you want the job.
Make sure your resume is up-to-date, spell checked, and neat. Don't hand over a wrinkled, coffee stained piece of paper.
No resume? Ask to fill out an application.
Make sure you have information with you. Someone who will take the time to sit down and fill out the application will go further than the one who says, "Can I take it home?" Applications will ask for your previous work history and references so make sure you can write them down. If you need to keep a list in your pocket or on your phone, do it. Be prepared. Fill it out neatly and make sure you know how to spell the names of the companies you've worked for and their information.
Be nice to everyone you meet at that place of business. You never know who has the bosses ear.