What is a good investment strategy when a recession is coming?

Traditionally, investing in necessities that people keep buying even during a recession have held up well in a recession - not necessarily made a big profit but held their own. So consumers non-cyclical (P&G, Budweiser, Coca Cola) and utilities are considered a good safe haven. There are ETF's built on these sectors, too. Check out etfconnect.com.

Gold is a generally a good hedge against a failing economy and upheaveal (war, terrorism, falling $, high unemployment), but it's really high right now, so be careful.

Treasury bonds is another place where $ flows, but 30-years are at around 4.7% yield now. However, if we do enter a recession, the yield will probably fall some more due to demand and so if you bought now, the price will go higher.

Online savings rates are still very decent @ 5% - and, because of the internet, I believe those rates will hold up even if the Fed starts cutting interest rates, which they will if a recession looms or we enter one.