By law most states have to advertise them in the newspaper, like pp said. So look in the legal/foreclosure sections. Also you can call you're local mini storage places, and most will tell you when their next auction is scheduled and some will even tell you how many units. Many "local" storage facilities are run by management companies, so they could have multiple sales at multiple facilities on any given day. If at all possible, try more of your "mom and pop" places instead of chains, like Public storage etc.
A few things to keep in mind, Many of these local mini storages have been having sales every month for as long as they've been there so they have their "regulars" and these guys are not enjoying the influx of newbies, so they can and will up bid just to make you pay more... Kinda like "Dave" on the show. Units that used to sell for "pennies" are selling for hundreds now, all because of the show. Most places do the whole unit and by law they can not look in any of the boxes or open anything, so you could wind up paying $300 for a 10x10 unit full of empty boxes or garbage and you are 100% responsible for cleaning it completely out, usually in 24hrs. Some states require you, the purchaser, to return any and all personal papers/ pictures, etc to the storage facility.
Also, if/when you go to your first auction make sure to bring as much cash as you're willing to spend and lose (kinda like going to Vegas, its always a gamble), a flash light, gloves, wear clothes you don't mind getting ruined and bring a padlock incase you have to lock up the unit after you purchase it. And get there early as most places don't have a lot of parking and since the show there are HUGE crowds at most of the auctions.

I just realized how long this is, sorry! I used to manage a mini storage and my parents have been running one for 13 years so sometimes I get a little carried away.
