According to Citi's February 2009 "Small Cap Sector Snapshots," analyst Lori Calvasina thinks two sectors look compelling right now: technology and consumer discretionary (that last category includes things consumers spend on non-necessities, such as restaurants. Apparently companies like Chipotle and Buffalo Wild Wings have been somewhat successful in weathering this recession.)
Writes Calvasina in a note to clients:
Still Intrigued With Consumer Discretionary and Technology - We remain overweight these two sectors, where valuations look compelling and our economic models are continuing to climb higher. These two sectors also tend to outperform late in recessions, after broader markets have bottomed. Both have been outperforming YTD and since the November 20th, 2008 lows in equity markets.