TIP #1: Just getting started and looking for criticism/interpretations? Look for books that will provide a range of views, with each chapter serving as a stand-alone text. How? Look for books that start with the words "Critical Essays," as in "Critical essays on Shakespeare's Measure for measure."
TIP #2: Use subject headings and limiters when searching the library catalog. For example, want to find criticism that deals with film adaptions specifically? Search by "Shakespeare, William, 1564-1616 -- Film and video adaptations." Actual films? Search by play name and then limit location to "Video Collection."
TIP #3: Browse around in the PR2800-2900 section. This is several rows' worth of books, but if you're in the mood for a break from the screen, get thee to the 4th floor and have a look.
TIP #4: Probably this should have been tip #1: take a minute to really think about what you're looking for. You can still enjoy the serendipity of the search, but it's always nice to be able to cut to the chase when you need to/have to.