When I first started playing D&D, I played with a couple of friends from school who were into the same sort of geeky things I was into. Then I moved, and went to a new school. Almost immediately I found some guys playing Magic The Gathering at lunch, and it turned out they played D&D too. During and after college I worked in a game store. Another move, and things got a little more difficult. There wasn't really a good local game store. There was, in it's place, a young but growing group of bloggers who talked about old school D&D, and from that grew the large community on Google+, where I mostly do my gaming now.
Finding players for a new GM can be an intimidating process. Unless you've got a built in group of people, you'll be talking to strangers about things that are still looked down upon by society (see Big Bang Theory). It's not as bad as it was (see Marvel, Community, Satanic Panic) but it can still be difficult to approach a bunch of strangers to talk about an RPG, even if they're showing geeky interests, or even talking about the game you're interested in running.
So what do you do? If you've got a friendly local game store (FLGS) they often have bulletin boards that you can post notices up on. If they've got a gaming area you can even run a game in the store to start with. Talk to the people who work at the store, and see what's up. Generally they'll know if they have customers who are looking for a game.
If you're without a FLGS, check the local comic shop. Generally they won't have a place to game (unless they do something like Friday Night Magic), but it isn't a bad place to look for gamers.
Remember, we're living in the future. Checkout web sites like Meetup.com and see what's out there. Within 5 miles of me there is a wargame club, a chess club, a Magic club, and 3 RPG clubs.
Meeting up with people isn't always viable. Depending on where you are, there may just not be a local population of gamers. In that case, check out options for playing online over G+ or Skype. I've had a lot of success finding games this way.
This post is day 3 in the 30 Days of GMing Challenge.