You have to know something about the market you're submitting to. In the SF/F field, there are half a dozen or so professional-level magazines that publish almost nothing but SF or fantasy (Analog, Asimov's, Fantasy and Science Fiction, Realms of Fantasy, etc.), and a larger number of small press and semiprofessional magazines that also publish SF/F. The first group pay better, reach a larger audience, and offer more prestige—but of course they're harder to break into. The small press and semipros exist in part to offer new writers a place to break in and stretch their wings.

If you think your story is of good quality, submit to the pros first. If you don't succeed there, try your luck with the semipros.

There are also, from time to time, anthologies (book collections of stories by various authors) open for submission. To even hear about these, you need to be doing your homework keeping abreast of the marketplace.

A good way to do this is to study the market listings that appear regularly in a variety of publications (SFWA Bulletin, Locus, Science Fiction Chronicle, and others) and web sites that provide similar info. Look for more information in Resources for Writers.

If you want to know the kind of fiction a given magazine publishes, buy a copy and read it! This might seem obvious, but many people don't think of it. Once you have the magazine, look inside for the editor's name and editorial address. (Don't send your work to the subscription address, unless it's the same!)

Study the publications, study the market reports (which also include such information as editorial addresses and submission guidelines), and decide who you want to submit to first. Also decide in what order you will make further submissions, if you don't sell the first time, or the second, or third.