The first thing is to determine whether the interference is really coming from the outside world, or whether it is an artefact generated by your receiver itself. All receivers are susceptible to being overloaded by very strong signals which can then generate spurious signals inside the receiver. At first sight, these signals can look and sound much the same as external interference.
So, if possible, the first thing is to try a second receiver. Ideally you should use a different model of receiver so that the characteristics—e.g. filter performance, IF frequencies etc.—are different from your main receiver. Look to see if the same interference is heard on the same frequency. If it isn’t, then this may indicate that the problem is not external, but is being generated within the receiver itself, for example intermodulation caused by the receiver being overloaded by strong outside signals from a local broadcast transmitter or a nearby mobile cellular site. In this case, the solution is to install either a band-pass filter for the band that you want to listen to, or a band-stop filter designed to filter out the interfering signal. Either should be fitted at the front-end of your receiver, and most modern transceivers have the facility to allow such a filter to be added.
If the interference is also present in the second receiver, then one further check is to operate the receiver with a different aerial. If a second antenna of a different type is available—e.g. vertical vs horizontal—or in a different part of the garden, try that. Otherwise in the case of HF, try a random length of wire dangling out of a nearby window, or in the case of VHF or above, use a simple hand-held wire dipole. If this eliminates the interference then this could indicate a faulty main aerial. For example, corroded joints can act as a crude diode, and the resulting non-linearity can cause received signals to be demodulated or to appear on strange frequencies—the so called “rusty bolt effect”. A second antenna could also give clues about proximity or polarisation of the interference source.
If a second receiver is not available, then an alternative approach is to use the switchable attenuator on the main receiver. If, for example, a 10dB attenuator is switched in, then if the interference is real, and is not an artefact generated within the receiver, then both the received signal and the interference should fall by 10dB. So tune in a stable signal—e.g. a beacon or a broadcast transmission—on a nearby frequency and then note the change in the S meter reading when the attenuator is switched in and out. Now tune to the interfering signal and do the same test. If the interference level changes by either significantly more or significantly less as the attenuator is switched in and out then this would indicate that the apparent interference is a function of the receiver, and is not necessarily real interference coming from the outside world.

One of the most likely places for the source of the interference is in your own house. Could it be something in the shack, or in the home? Progressively turning off all electrical devices may pinpoint the source. Try everything—fridges, televisions, radios, mobile phone chargers, electric toothbrushes, central heating controllers, LED lighting, computers, routers, etc. Do not assume that because a device such as a TV is on standby that it cannot cause interference. Disconnect it from the mains. Do the same with such things as USB chargers. Plug in and out the USB device being charged. Be aware that sometimes the interference can be even greater with devices on standby than when they are fully on. Remember that most modern electronic devices use switched mode power supplies—even some that are battery operated—and also be aware that some may be permanently wired in and cannot be unplugged.
If possible, operate your receiver on batteries and turn off all the mains power to your house at the consumer unit. If the interference reduces or disappears, then turn devices on one at a time until the offending device is found.
But remember that even turning off the power may not silence everything, since some items may have battery backup—e.g. an alarm system. Further be aware that alarm systems may have active electronics in the external bell box that can cause interference. Even 'dummy' bell boxes that have battery powered flashing LEDs can cause interference.
With the mains power switched off, the telephone line will nevertheless still be active, even if your cordless phone and internet router are off. For the telephone, try disconnecting all the internal house telephone wiring. For a BT Openreach installation, this is typically done by removing the front cover of the master socket. If this changes the level of the interference it may well identify this as a likely source.
If possible, use a portable radio, portable transceiver, or RTL dongle, perhaps with a sniffer loop, to try to locate the source by moving the receiver around and noting the change in level received. If possible, either turn off the AGC on the receiver or alternately watch the S meter since with the AGC on this will tend to counteract any change in signal level as the receiver is moved towards and away from the source of the interference. If you are using a receiver with a ferrite rod antenna—e.g. an AM broadcast receiver—then remember that this has useful directional properties—typically a strong null when the ferrite rod is at right angles to the source—and this can be used to help to direction-find an offending interference source.
Also beware that most devices emit near-field emissions so you need to find a frequency where the interference is present near the device and then see how fast it decays as you move away. Near-field effects often decay away within two to four metres.
If the source is in your property, it may be possible to eliminate the interference by filtering the mains supply, or using common mode chokes on the antenna feeder, or by moving cables or feeders further away from the source—for example, see http://rsgb.org/main/files/2013/10/Filters.pdf

If the interference is not coming from something in your own house, could it be coming from a neighbour’s house, or something nearby? Here a bit of detective locating is useful.
Walking or driving around with a mobile receiver and taking signal strength readings from different locations may help locate a source of interference. A hand-held portable receiver with a whip antenna may be useful, walking around, gradually reducing the length of the whip as the interference source is approached. If the interference can be heard on the broadcast bands a Medium Wave AM radio could be used. But when trying to direction-find a source, be aware that overhead distribution wires and other large metallic objects can affect the apparent direction that the interference is coming from.
As you move towards or away from the source of the interference, the received level will change. For a radiating source, the signal level will decrease by the square of the distance, i.e. double the distance from the source and the field strength will reduce to one quarter, while the near field strength will reduce to one eighth. This can sometimes be used to estimate how far away a source of interference is, but be aware that again, this can be confused by cables and other metalwork in the vicinity.
Alternately, where a beam antenna is available, this can be used to see if the direction of the interference can be pinpointed. Using further beam headings from other locations, it may be possible to accurately triangulate the location of the interference.

If you suspect that the interference your equipment is suffering is remote from your location, then if possible enlist the help of other amateurs. Can they hear the interference? Is the interfering signal stronger or weaker at their location? Again, some simple beam headings can help to triangulate the source.
As an alternative—or supplement to—reports from other amateurs, when identifying more distant interference sources, it can also be worthwhile to use one or more of the on-line web SDRs e.g. http://www.websdr.org or http://sdr.hu These are located all around the world and may help locate the source of long-distance interference by comparing the strength of signals on SDRs at different sites. Some also have directional antennas which can further help to narrow down the likely location of the source.
It is also worthwhile trying to evaluate the characteristics of the interference. The sound of the interference, and the look of the interference on a waterfall display, can be compared to the characteristics of different types of signals and interference on various frequency bands on www.sigidwiki.com.