Your success as an unemployee is inextricably linked to how well you know your prospects and their business. And company knowledge isn't just for interview day either. It will come into play when you craft your cover letter and customize your resume as well. Once you see an interesting job, your research department should kick into high gear.
That said, try not to OVER DO it. Some people can really waste a lot of time on this step. Basically, you should know how long the company has been around, how big it is, what they sell, who they sell it to, who they compete against and what their rep is. Be able to describe in a few sentences what their overall business model is.
First, the obvious:
1) Read the "about" page of the company's website.
2) If they have them, read the company bios to get to know the important people.
3) Read the company's press releases on their site and any "in the news" news.
4) Read the company's blog.
1) Look up the company's stock ticker if they have one and see how they've been doing over the last month, six months, two years and five years.
2) Type the name of the company's product or service into your search engine along with the word "reviews" to see what people are saying about it.
3) Research the company's whole industry by typing the industry name (e.g. fitness) and then the words "industry trends" into your search engine.
4) Use Linkedin to see if you have any people in your network's network who work there. If you have a secondary contact who does work at the company, ask your mutual contact to introduce you and then ask that person if for an informational interview so you can get the lowdown.
5) If you do have an interview, it doesn't hurt to research the people that you're interviewing with at places like Linkedin. But it's probably best if you don't let those folks know that you know they went to UVM and majored in Bio Chem. Because that's a bit creepy.
I'm sure you have them...