One of the most celebrated aspects of jQuery is its extensive plugin ecosystem. From table sorting to form validation to autocompletion – if there's a need for it, chances are good that someone has written a plugin for it.
The quality of jQuery plugins varies widely. Many plugins are extensively tested and well-maintained, but others are hastily created and then ignored. More than a few fail to follow best practices. Some plugins, mainly jQuery UI, are maintained by the jQuery team. The quality of these plugins is as good as jQuery itself.
The easiest way to find plugins is to search Google or the jQuery Plugins Registry. Once you've identified some options, you may want to consult the jQuery forums or the #jquery IRC channel to get input from others.
When looking for a plugin to fill a need, do your homework. Ensure that the plugin is well-documented, and look for the author to provide lots of examples of its use. Be wary of plugins that do far more than you need; they can end up adding substantial overhead to your page. For more tips on spotting a sub-par plugin, read Signs of a poorly written jQuery plugin by Remy Sharp.
Once you choose a plugin, you'll need to add it to your page. Download the plugin, unzip it if necessary, place it within your application's directory structure, then include the plugin in your page using a script tag (after you include jQuery).