Please note this is not my list - it was posted on Absolute Write by Jackie Kessler (dragonjax), and is only copied here for my own reference.
1. Go to http://www.agentquery.com and do a search specific for agents who represent fantasy -- and I'd further tailor this list to see who reps my particular sub-genre of fantasy. Then I'd prune this list according to who is accepting new clients.
2. Once I have that list, I'd go to Publishers Marketplace and find out what those agents' recent sales have been. NOTE: Not all agents report their sales (mine doesn't; I reported the sale, with his blessing). But this is still a good sampling of whether the agents are really concentrating on your genre or not.
3. Next stop: Preditors & Editors. Any "not recommended" tags? If so, cross those names off the list. Period. Don't try to talk yourself into querying them "just in case." They're not recommended for a reason.
4. And next: Beware and Background Check here, and Writer Beware at SFWA. Hey, just because they're not "not recommended" doesn't mean they're decent agents. ANY yahoo could hang an "agent" sign up and claim to be a literary agent. Hell, I could claim to be an agent.
5. Then I'd Google the hell out of the remaining names, find out who some of their better-known clients are and sniff out any obvious dirt.
6. Next, I'd ask my author buddies if they have any feedback on the remaining names: personal experiences, especially.
7. And then, finally, I'd send out my killer query to those remaining on my list.