How to immigrate? (Toronto)

Hello there,
For a couple of years, I've been having this recurrent idea of trying to live and work in Canada. I've never made a big effort on checking that much of detailed information about it, yet, the idea comes from time to time.
My main doubts are related on the process of really moving there, whether if you should find a job first applying from the place where you life, or if you should apply though those immigration programs that the federal government or the provinces have.
If anyone has some good pointers on it, I would really appreciate them.