Even if you’ve looked through the really useful Comprehensive LaTeX Symbol List at CTAN, you still might not be able to find the symbol you’re looking for. This is where detexifying LaTeX comes in. All you do in draw the symbol you want in the box provided, and it will come up with a list of possible symbols, one of which will be the one you’re looking for. Ideally, you should click on that symbol to train the software. In the list of symbols will be the code for the symbol you want.
It does have its limitations, though. It can’t find things where you need to input something, like diacritics decorating a character or those arrows with text above them. You’ll still have to look through the Comprehensive LaTeX Symbol List for that, I’m afraid.
Keep an eye on the detexify site: the author is working on an easier-to-maintain version.