Everything evveryone has posted is good advice. Just to add:
Use a rag to wipe the inside of the tire to find something embedded in the tire. You don't want some pieces of debris to cut your finger.
If the hole is located on the inside of the tube facing the rim, it is time for new rim tape for both wheels. Don't just replace the tape on the one wheel that had the flat, as the other tube will blow at the point furthest from home.
Shells and glass can puncture and pop out, making finding the source difficult.