I'm in the same boat (3rd year Mechanical engineering student), and what I would recommend is going to your school's career fair and talk to some of the employees of various companies. You don't have to have any interest in joining them at the time, just walk up and ask what they do in a normal work day. If you like what they're describing, ask what you can do to put yourself in a better position for that company. If you do not like their description, simply move on to the next booth.
An easier way, though, would be to think of what makes you happy. For me, it's cars. I've always loved them, always will. And so I am setting myself up for a career in the automotive industry: I am taking technical electives that focus on automotive engineering, I am learning multiple CAD programs and programming languages, building a wide skill set (this is key---the employer will think "If I hire this guy, he can take the place of two or three people! Why NOT hire him?"), and I am active on my school's Formula SAE team. No matter what you want to do, your school should have some sort of club/team or offer classes in that field. Join them to gain necessary experience.
Also, you should network with some of the professors on campus. You'll find that a lot of them have either worked your dream job in the past or have connections to somebody who does. Make a good impression on them, go to office hours to get to know them, and ask about it. Professors were students once too, they'll be happy to share their experience with you!
In terms of actual job titles---don't worry about those. They vary from company to company and you'll find that most just say "Job opening--Engineer". Just peruse the listings, find one that suits you, make sure you meet the requirements, and go for it. It doesn't hurt to try. You mention HVAC a lot, which is nice, but remember that you wouldn't design the loops inside of houses or anything, you'd be designing the components themselves. If you're not comfortable with Thermodynamics and Fluid Mechanics, then avoid this field.
A lot of what I put here is what I've gathered from people who have been in our position at one point. Each of them told me the same thing: you're young. You don't have house payments, you have the freedom to move wherever you want with little consequence, no wife or kids to worry about, and so much more. If you think that there is the tiniest of chances that what you're onto can make you happy, go for it. If you find that it isn't what you wanted, then no harm done. Move onto the next opportunity. Just don't be afraid to take risks right now, you could be letting yourself down massively.
Last bit of advice: never just say "I'm good at this, why not make a job out of it?" If it doesn't make you happy and feel fulfilled, then picture yourself doing that for 40 years and being miserable every second. The beauty of our field is that we can go into almost anything we want (I know a mechanical engineer who was hired on as a business higher-up because he had a valuable skill: problem solving). We aren't just taught how to use equations, but how to identify a problem and take the steps to solve it. That skill is invaluable for any job market.
Whatever you decide, good luck!