I started with asking my friends, or at least the ones I trust are getting good therapy or have done so in the past (you can usually tell by how much they use therapy-speak), and they'd refer me to their current or previous therapists. I give those a call and ask if they're in Aetna's network. They usually tell me they're in more often than out-- which tells me this company has a good amount of contracts with health providers, so I'm in luck. As you can tell, I'm clueless as far as US insurance companies go.
If they turn out to be good I stick with them, if not or if I want to see others for other reasons, I'll sometimes ask them to refer me to someone else straight up. For instance, my current therapist referred me to a good Pakistani doctor because he'd relate and understand where I'm coming from better on some issues. I'm not sure if that's feasible for everyone, but with $0 co-pay I'd be crazy not to.