First step: look up the airport you intend to fly into - it should have a website which lists what airlines fly there.
Second step: look up fares on each airline's website. It used to be true that you could get a cheaper deal through one of the consolidator sites, but that's not always the case anymore (and some of the cheaper airlines aren't even on those sites).
Third step: check kayak.com, orbitz.com, travelocity.com, and hotwire.com. You'll get substantially the same results, but it's worth an extra half an hour if you can save $20, right?