We discuss the very different methods in each wavelength band for selecting and finding Active Galactic Nuclei (AGN). We briefly review the history of the different techniques for finding AGN and compare and contrast the advantages and difficulties of selection in different wavelength bands. We stress the strong selection effects in each wavelength band and the difficulty of defining complete samples. Of all the techniques presently used, we conclude that selection in the hard X-ray band via imaging and spectroscopy is the most complete and allows the best estimate of the number and evolution of active galaxies. However, all of the techniques have difficulties at low luminosities where emission due to stellar processes can have similar sizes and luminosities.