Research the movie you're looking for on the Internet Movie Database and similar websites. Look for the director's name, the names of the principle actors, the studio which released it, and the names of any alternate titles under which it may have appeared. The more concrete information you have in your hands, the more easily you can find the precise movie for which you're looking.
Search for online sources such as Best Video and Movies Unlimited. They specialize in obscure movies and hard-to-find DVDs. Their charging and delivery service tends to be reliable, and they offer a number of titles that aren't readily available elsewhere.
Check pages like Amazon.com and eBay. Amazon serves as a gateway to a number of smaller dealers who may have obscure or out-of-print titles available. Private collectors trying to get rid of a cult film may post a copy on eBay for auction. Both sites offer certain consumer guarantees as well, allowing you to return the movie if it's not what you had in mind.
Attend a science fiction or horror movie convention in your area. The dealer's room at such events often has retailers selling hard-to-find movies at reasonable prices. You may have to dig through their stacks a bit, but the hard work is worth it if you come up with that coveted title.
Seek out flea markets, swap meets and garage sales. Though not as reliable as science fiction conventions for locating hard-to-find videos, you may find someone looking to unload a collection. The benefit of finding a movie in such places is that the prices are often rock bottom.