This depends a little on the type of studio you are applying to.
For smaller, local studios, it might be a great idea to show up in person and inquire about a job. This may give you the chance to meet someone "on the inside," or give them a chance to place a face with the name. If you do this, be armed with questions about the studio/jobs/internships/whatever, and be sure to not take up much of anyone's time. Assume they are really busy, and if you get a chance to talk to someone, make it a short introduction/inquiry, and try to set up a future chance to follow up with them.
For medium-sized or large studios, this is probably not the best idea, as it wouldn't be considered as professional, and the chances are slim that the receptionist or whoever you'd run into could help you very much. In these cases, you are better off following the standard application submission protocol that the studio likely details on their website.
And then for all companies, a great way to make contacts, ask about jobs, and get questions answered is to go to job fairs or conventions such as Siggraph where there are a lot of studios represented by a lot of recruiters and employees. This is the best environment to find out more about jobs and companies, and again, be sure to try to make solid contacts and follow up with them in the future! (And again, if you do follow up via email or phone, be sure not to be a pest! If you start calling them every week, you will NOT be getting a job with them!)
Best of luck!