What I usually do is first google "car rental _____ airport or ______train station" or whatever for the city I want to rent. This will show you exactly what agencies rent there, their proximity to the terminal or place you want (whether in terminal / shuttle / 10 mile walk etc) . Then I'll read a few reviews of said agency, especially if it's an unfamiliar local one and go directly to their website for the rental, and look for the best deal to compare with the others. Don't be afraid of local companies, just look for reviews. We've gotten our best deals and service from smaller local companies like Arnold Clark in Scotland, where we got an automatic trans for a ton less than Enterprise (who we like to use and are loyalthy members of) up the street.
I use Travelocity, but only to get prices, and what car rental agencies are available. Once I know what is available, I go to that firm's site directly and book with them. In terms of Ed's comments, I agree about using local firms, they can be cheaper and better. But you do take more of a risk. I got burned once in Panama using a local firm. There were several "required add-on" charges I had to pay, and the car I got was so bad, I was genuinely worried I wasn't going to make it back to Panama City. Since that time, I will only use US brands in developing countries.
I find the most important thing to consider is the insurance you get, depending on which credit card you use. Barclays is very good, but check your wallet and see which card is best for you.