Once you decide on the car you want, use
http://www.edmunds.com/ to send out an email that goes to all local dealerships of the brand you are considering. You'll get the best quote; the dealers are going to literally have to earn your business and fight each other price wise to get you in there dealership.
If you're still not sure what car you're going to be getting, its best to go to the closest dealers, test drive all the candidates that are on your list, then leave. You won't have any emotional attachment to the car you just drove, the nice person that helped you out, or any pressure to buy.
After you get all the quotes back from edmunds, you can compare apples to apples (make sure to specify options and trim line you want when sending out the email) and only have call the best 2-3 quotes you get back so you won't waste time. You can even try seeing if dealer 2 will match dealer 1's lower offer; if they don't believe the offer you can easily forward the email to them to match it.
Also, there's lots of good articles on edmunds on what pitfall to avoid, I recommend checking them out - Good luck!
edit: I own a Subaru WRX personally and would recommend Subie's all day.
Instead follow what with others are saying, go into the dealership with predetermined questions so you don't have to be put on the spot. Talk about things like warranty (very important), gas mileage, reliability, and of course your personal preferences, interior, color etc...
