If you collect a broad category such as dolls or china or fill in the blank you can start next door. Flea markets, garage sales, auctions and friends are the old fashioned way to find them. The new fashioned? way: go online!. Start with where you know you'll find them.
Ebay. Now the world's largest auction house (by far), you have a window into every-ones closet. You only need one more Midge doll to finish your 1966 Barbie collection? You can still find a new in the box (NIB or MIB) mint Midge for only $995. Out of your price range, how about your basic used doll Midge body for $9.99.
Don't forget to try others with similar interests to you. There are hundreds of doll collectors clubs where you'll not only find what you're looking for, you'll become acquainted with all sorts of people with the same passion as you. They love to talk about what they collect..so you get a lot smarter too.
Craigslist has a very cool feature that you may not know about. If you have a smart phone, download the app; Craigslist notification. You can have your phone send you a message every time someone near you lists your specific item. You don't have to hit CL every few hours and hunt under the category you hope someone has listed it in. Is it in toys, collectables, antiques, general? Nope, as soon as someone puts in "Midge" you get an alert. You're first in line!
If you collect a high end or super rare item, register with Liveauctioneers. They will send you every major auction from around North America every week. You won't miss out on that original Boris Karloff "Frankenstein" poster. You may have to pay deeply for it, but if it's the one piece you need to finish your collection? It's worth every penny.