You can try to search for a trademark on your own to see if any obvious problem pops up as a first step, but if you expect your business or product to become major, and the name will be important to you, you'll want to retain an experienced trademark lawyer to do it the right way.
If you wish to proceed on your own, the sources you should check include:
(1) Lexis, Dialog or other computer services which provide on-line searching
(2) The Federal Trademark Register, a book, published yearly, which lists all federally registered trademarks (as of the book's publication date--which means the information is rather stale). Such a search will not pick up the second word of combination marks, nor common law marks. Computer searches are more up-to-date and useful
(3) All telephone books in your area and in major cities. Using a CD-ROM of business names is more up to date and comprehensive
(4) Trade journals from your industry
(5) Trade Associations, which sometimes maintain lists of trademarks in their industry. For example, Pharmaceutical Manufacturers Assn., Tobacco Merchants Assn.
(6) State and local assumed name certificates and doing business as filings.
(7) Corporate registers in your state and the other 49 states. Please note partnerships, LLPs, LLCs may be listed on separate registers and a corporate name search may not turn up all company names which are registered.
(8) Do a full search using a professional search organizations and an experienced trademark attorney. Such an attorney or organization will search for Federal register and trade journals, telephone books and other "common law" sources. You should also consider searching state trademark registrations and corporate names on the records of each of the fifty states. An experienced trademark attorney is necessary to give you a reliable opinion on just how strong an obstacle may be. There are many ways around an obstacle, and whether or not you can beat a mark which is close, requires an experienced opinion.
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