Do your homework. Ask your friends that you trust if they have suggestions. Is your family able to help you with that? Your primary care physician is a good resource generally. The national alliance for the mentally ill is also an excellent resource. The local medical society or psychiatric society can help. Yellow book advertisements are not a reliable source.Trusted family and friends are most often best sources.
Psychiatrists. You can generally check their credentials via their web sites & with state medical boards. Board certification is a positive. Consider what you're wanting help with, and find a psychiatrist interested in that or who's taken additional training in it. You want to feel comfortable confiding in the doctor, and feel that s/he hears you. Willingness to answer your questions is important also.