If the array is unsorted, there isn't really a better way (aside from using the above-mentioned indexOf, which I think amounts to the same thing). If the array is sorted, you can do a binary search, which works like this:
Pick the middle element of the array.
Is the element you're looking for bigger than the element you picked? If so, you've eliminated the bottom half of the array. If it isn't, you've eliminated the top half.
Pick the middle element of the remaining half of the array, and continue as in step 2, eliminating halves of the remaining array. Eventually you'll either find your element or have no array left to look through.
Binary search runs in time proportional to the logarithm of the length of the array, so it can be much faster than looking at each individual element.