Quote by nightraven
i look at what options are available, then look at the descriptions and clips of the pickup, then get them cheaply on eBay

Or if it's taking to long for them to turn up on ebay I get them as cheap as I can off of the interwebs.
[O.¬] - WTF?
I check out bands I listen to first, to see what they use. Then I try to figure out how those pickups would interact with my rig, and what I'm trying to achieve. Lastly I'll look for comparison clips and attempt to try them out.

GASing for blackouts atm...
WTLTL 2011
You buy the most expensive ones you can find because everybody knows that if they cost more then they much be better.

OK, Maybe not... Mark G hit the nail on the head. Identify what tone you want, figure out what your current tone is lacking, and then search for pickups that will add those qualities to your sound. The hardest part is knowing how the pickups are going to sound with your rig because what sounds great in something like an LP might sound horrible in something like an RG. Thats why why it's always a good idea to talk to people with lots of experience with pickups. Luthiers, pickup winders, and amp repair techs are usually the best people to look to for advise because they tend to have lots of 1st hand experience.
Not taking any online orders.
Decide what it is you don't like about your tone.
Review your ENTIRE rig and how you use it to make sure that pickups are the issue.
Set your budget.
Decide how you want your tone to change.

Look for recommendations based on those requirements, and ask for advice on those recommendatons.
Actually called Mark!

Quote by TNfootballfan62
People with a duck for their avatar always give good advice.

...it's a seagull

Quote by Dave_Mc
i wanna see a clip of a recto buying some groceries.

pure trial and error
personally i don't think there's ANY way to judge a pickup by either sound clips or by what your favorite bands use. there are far too many MUCH greater factors that generate the tone you're hearing on an album or in a sound clip like:
type of wood
type of guitar
type of bridge system
neck/body joining method

but the good thing is that, at least with SD and Dimarzio, they have a 30 day exchange policy, so if you get a pickup from a store, you can install it then if it doesn't work you return it to the manufacturer and try another model

many people recommended both the PAF Pro and the Air Norton in the neck position for the tonezone in the bridge position... both sounded like poop.
wound up with the Super-2, despite even the Dimarzio Tech