I pore over their website, and do web searches on the company and the company's top executives. If I don't personally know anyone who works for (or used to work for) them, then I hit up my professional contacts to see if I can find someone who does. I then ask those people about their day-to-day experience at the company. I make sure to ask, at a minimum, both what they consider great about working there and what they consider awful about it.
What I'm looking for is a good fit -- does the company operate in a way that works for me? Do I feel good about what the company produces and how they do business? Are the employees generally satisfied? That sort of thing.
One thing I would never do unless I were in a crisis of some sort is to just jump in and hope for the best. It's too easy for that to go horribly wrong.