Expanding on Arda's answer a little bit. It depends on what material you are looking for. Different materials appear in different forms. Assuming your are running 0.31.x coal will appear mostly in the form of veins, with large ovals of it every now and then. Your best shot is going to be looking laterally across a single Z level. Veins can be between 50-100 squares wide. so I'd advise digging single wide paths every 30 squares or so.
More or less it is random searching. But you can rule certain things out. stuff like coal will never be above an aquifer. it will never be found in sand of any kind, or most soils. you only should look in rocks. that might help narrow your search a little.
Good luck! Have Dwarven fun! xD