I recently went through this.
I found shoe shop website (since lost) that had a couple of video's on Youtube showing how to measure your feet and translate that to shoe size. It involved tracing around both feet on paper, measuring, then converting that into shoe size. I'll try to post links if I ever find it again, but its not hard to find sites like this.
I found it a bit difficult, what with carefully checking again and again, so it took me a while. I was thinking of ordering a US brannock to measure my feet instead, but I didn't want to wait the extra time though and they are not exactly cheap. I went with my calculations in the end.
I then went to Amazon and searched by the "Womens Shoes" category, putting in the size, width, and average customer review as filters. That cut down the numbers of shoes that might fit massively - I guess I got big feet. When you look at a shoe on Amazon, apart from the comments which are great, just next to the size selection box and size chart is a Fit measurement that based on customer feedback shows how well the shoe fits its stated size. The shoe I ended up getting actually does fit pretty well.
Once you've found something there's no need to stick to Amazon, but they do have an enormous range (before putting in my size anyway) and good filtering.