Theres lots of ways of doing this, but the two I've found to be most useful are these:
Detexify Allows you to draw the symbol, and then guesses based on similar symbols. This is great for me because I don't always remember the name of the symbol, and even if I know the name, I may not have the correct name.
AMS LaTeX Short Math Guide This short pdf gives an overview of AMS LaTeX functionality, and includes a pretty thorough list of most of the math symbols (un)commonly used in proofs and formulas.