Sometimes the best way to find a needle is by going straight to the haystack. That is, if you don't know which needle you're looking for. Poetry anthologies are full of familiar and undiscovered goodies, and if you don't mind shuffling around in some straw for awhile you're sure to find at least one or two.
Not that too many no-good poems find their way into anthologies (hardly any do, in fact), but not every poet or poem will strike every reader the same way. Poetry-lovers often talk about encountering a poem, not liking it, then reading it again months or years later and loving it. How can that kind of magic happen if you don't have the right book of potions?
Poetry anthologies are commonly grouped by place and period, for instance, "poems published in England during the Romantic era." Others follow themes like "love poems" or sonnets, or offer poems for children, or try to cover the breadth and length of American or British poetry (a daunting task by any standard).
You'll often find information about a poet, or a specific poem, or a cultural context in an anthology. These can be extremely helpful for understanding what you read, though such articles sometimes tend to over-intellectualize or psychoanalyze more than is helpful. Be wary, but don't just skip the introductory stuff, especially if you haven't read a lot of poetry yet.
Most importantly, enjoy the poems you encounter. Poems aren't frightening animals relegated to anthologies the way tigers are sent to zoos—fun to look at from a distance, but ultimately destructive or boring (tigers in cages sleep a lot). Poems demand that we engage them on a visceral level, get right up to them and inside them to find out what's going on.
Anthologies are more like happy poem communes, where the creme de la creme go to enjoy each others' company and invite readers into their midst for a nice long chat and maybe some dandelion wine. Not that all poets are hippies, but any poet worth his weight in paper and ink is one who loves words, loves life, loves nature, and tries by all the means at his command to enliven readers with the same loves.