Ever since I entered the mental health field, friends and family have approached me to ask for referrals and ask for advice about how to find a good therapist. Unfortunately, I heard many stories from people who tried therapy but gave up when the first therapist they tried was unhelpful, unethical, or just not a great match for them. This article from NPR offers some good tips to help you "shop" for a good therapist: http://www.npr.org/2011/05/16/136283080/shop-for-a-pyschotherapist-to-avoid-the-lemons
As the article points out, there are many different types of therapy, and it can be overwhelming to sift through all of the types of therapy and various therapists out there...especially if you are suffering from mental health issues like depression or anxiety. But I do recommend doing some research if you can...or enlisting the help of a trusted friend or family member to help you. If you have a sense of what your diagnosis/problem may be, you can pretty easily discover what types of therapy have evidence for treating that diagnosis (such as exposure therapies for trauma, CBT for specific forms of anxiety, and psychodynamic therapy for interpersonal issues). It is also important to consider your personality and personal preferences. Are you a short-term, solution-focused thinker, or do you prefer analyzing relationships and exploring emotions over a long period of time? Do you want a therapist in a didactic, authoritative role or do you prefer a collaborative approach? Having at least a sense of what works for you can help you weed through lists of potential therapists and ask good questions when you interview them over the phone and/or in the first session (and don't be shy about doing so!).
Though doing some research and taking the time to speak with a few different therapists may feel overwhelming when you are in need, it is worth the effort. Don't be afraid to ask people you trust for referrals: word of mouth is often still the best way to find someone good. Above all, don't give up Even if you don't love the first (or second) therapist you meet, keep looking...the perfect fit is out there.