Professional Societies & Meetings
There are two main professional societies:
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American Statistical Association (ASA)
The ASA is an umbrella organization that seeks to include all working statisticians. You should join the ASA as soon as possible (taking advantage of the student rate!).
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Institute of Mathematical Statistics (IMS)
The IMS is more oriented toward academic researchers. You should join the IMS if you intend to pursue an academic career.
In addition to these organizations there are a number of more subject-specific organizations:
Other Related Societies
All of these societies hold frequent meetings, the most important being the combined annual Joint Statistical Meetings (JSM). You should try to attend at least one JSM during your graduate career; ideally you could present a contributed paper or a poster session. This is a very good way to make professional contacts and to meet other people who share your particular interests. Some travel funding for graduate students to attend meetings may be available through the Department, or from the Graduate School, or through the professional societies themselves. Some commentary on these matters is available from the New Researchers' Guide.