First lets consider going with a local store. The advantages of this are that you are able to physically go into the shop and speak with someone and even try on several dresses. You may like to take a friend along to also get their opinion. Also many local stores may have reasonably priced items which will fit within your budget. If however you live in a smaller town or city you may find that there are limited choices. Regardless this is probably the first place you should start your search for your perfect dress.
After visiting your local stores you can check out some stores online. You will often find cheap dresses online and even if you don't end up purchasing from any of these stores the more dresses you look at the more ideas you are getting. Buying online can often be the cheapest way to get your dress but it does have the risk that it wont fit when it arrives and you will need to get it altered.
Using a Professional Designer
Finally lets consider going with a professional wedding gown designer. This can often be the most expensive option so it may not fit in with everyone's budget but is often worth it as you will end up with a dress perfectly suited to you and your wedding. Ask the designers to show you examples of their previous works and take in examples of any dresses that you like the look of. It may well be possible to combine several different things that you like into one dress. Again it might be helpful to take a friend along with you.
Keeping all of the above ideas in mind you should be well equipped to choose your perfect wedding dress. Good luck for your big day.