I was looking in Alexander County, Ohio for the surname Nichols. When I found someone with that name, regardless that this person was no relation, I clicked on their name. It gave me a menu on the left that let me search for Nichols in that town, or in that county, or in that state. I chose the state, since I'm not having much luck finding people where they're supposed to be. It'll take a while to finish, but I think it's worth it.
I'm sure the more I use this site, the more I will find little tricks that will aid in my search. Like anything, the more you do it, the more you learn.