A lot depends upon where you are in the transition process. (By "transition process" I'm thinking of the whole road from where you first question your gender until you end up in whatever transitioned place you feel you belong.)
If you're still in the "what am I?" phase, you should start with a psychotherapist who has some familiarity with gender issues, ideally someone who has treated trans patients (and not screwed it up!) As others have mentioned, depending on your insurance, you might need a referral from some "primary care physician" if you want to get them to pay, which means picking some cooperative doctor that your insurance recognizes as a PCP. My insurance does not. If you do need a referral, I'd suggest contacting your local LGBT groups to get recommendations for therapists and simply asking your PCP to refer you to them, as most non-trans-aware therapists are worse than nothing for people questioning their gender.
If you're pretty well decided on transitioning (outwardly), you still probably want a therapist to support you with the social side of transition (a good trans support group might do, also), but if you plan to do medical transition as well, you'll also need a trans-aware endocrinologist. In my case, there's an LGBT clinic in NYC that I went to. My insurance doesn't require a referral, but if yours does, get your PCP to do so. Again, I'd suggest getting recommendations from a local LGBT group.
