your options are many and varied...if it is your first guitar then unless you know someone who can give you advice, your best bet is to get down to your local guitar shop
However, be careful; there are a lot of unscrupulous salespeople out there (after all, they are all human). Click here for some detailed advice on buying from shops
If you want to buy for investment purposes, then click here for some specialist advice on investing in guitars
If you don't know what you're looking for click here to go to page 2 of this guide, which will offer some help
If you're buying a guitar to actually play it, and know exactly what you want, then you need to keep an eye on a number of sources.

• eBay is a great place to buy guitars if you are pre-armed with the right information. Click here for a dedicated guide to buying guitars and basses on eBay.
• Adverts in magazines and local papers are another good place to look, although as more and more people become comfortable with eBay, there are less and less guitars listed privately.
• If it's a particular guitar you're after, then it's worth doing some research to see if there is a forum or owners club on the Internet as members often want to sell guitars to someone that they know is a) interested in it and b) likely to look after it. However, it's likely to be more expensive than trawling eBay or the small ads, but at the same time, is likely to be quicker and you'll be more likely to get an instrument that's been properly looked after.
• You can also use my forum to buy guitars, although bear in mind that this is a new site so there may not be much listed on there at the moment.