Like Sandman said...depends on where I'm hunting.
I see things on the news or read in the local paper, a demo job or some park issue...and I'll do a quick search on the location to see if holds some early history or how old the park is...kind of neighborhood, etc.
If I want to do some relic hunting, then I go a bit more in-depth with comparing maps, reading old books, land outlay and property owners.
A couple treasure legends I spent many, many hours...days on end in libraries and historic societies researching and trial runs to areas scoping out the lay of the land, etc.
You can do as little or as much research as you want. I'd say the more research you do, the more apt you are to have better finds. The obvious places have been hit pretty hard around here so you have to be a little more diligent in your search of sites.
Al