I like to research a few great restaurants and leave the rest to improvisation.
For research, I use chowhound for local favorites, Zagat's (esp. top picks in the "best food" category), and friends' recs- and mix and match these recommendations to identify a upscale luxe restaurant, a casual local joint, etc.
I never make a reservation for the first night because I inevitably feel like taking it easy when I arrive somewhere new.