Here is how to find a riding helmet that fits correctly. It is important that your helmet fits properly or it will NOT work when you really need it to. 99% of helmets available today are ASTM-SEI certified, which means they are approved for equestrian activities. However, hunt caps, derbies, top hats, and others are sold, mainly in catalogs, as well. THESE ARE NOT APPROVED FOR RIDING AND ARE FOR FASHION ONLY, THEY WILL NOT PROTECT YOUR HEAD FROM A FALL. You only get one brain in life, use it and protect it wisely.

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[edit] Steps

The easiest way to shop for a correctly fitting helmet is to go to your local tack shop. The staff will be eager to help you select and fit a helmet for you. However, if you find yourself shopping alone...
Find a helmet, designed for specifically for equestrian activities, that you like the look of. Remember you will be wearing it every time you ride. Right?
Check the inside of the helmet for a tag stating the helmet is ASTM-SEI certified. If it is not, since you are shopping for a RIDING helmet, put it back. It will not protect you in a fall.
Put it on your head. It should fit all the way down onto the top of your head, and cup your entire skull. If it doesn't it is too small.
Make sure the front of the helmet is no more than about 1 1/2 inches or two fingers above your eyebrows.
Give your head a vigorous shake like you are saying no. If it slides around it is too big.
Grab a hold of it and gently rock it back and forth or nod "Yes" vigorously. Your skin should move with it so that your eyebrows go up and down. You don't have to wiggle it very far. You just want to make sure it's not too long for you.
Buckle the chin strap and adjust it so that it fits comfortably under your chin back against your throat. Make sure it is not too loose, but you should be able to chew comfortably. Another method is to yawn as vertically as possible.
Way to go you have a helmet that fits! Now go wear it and have a great ride!

[edit] Tips

Try a hat one size smaller and one size larger than one that first fits. It doesn't hurt and you might find that one that fits even better.
If one size is too big and the next too small, check to see if it has pads that go inside that can change the size a bit. If not, you may have to try a different style or brand.
Take the time to find one that fits right and comfortably. It is too easy to decide not wear it if it's not comfortable.
Helmets bearing the ASTM-SEI certification are not expensive, Troxel has models starting around $30.00 each.

[edit] Warnings

A helmet that doesn't fit will NOT protect you if you fall. This cannot be stressed enough!!
NEVER use a bike helmet for riding. They don't cover the back of your head well enough and are designed for riding bicycles! Horse riding helmets are designed for riding horses.
*Never buy a second hand helmet, you never know if it's been damaged from a fall.
If you have a big fall, always replace your helmet as it may have cracked inside and will not protect your head as well as a new one would.
In the hunter/jumper world, 99% of the time contestants are required to have their hair secured neatly in a hairnet and tucked up into their helmet to give a neat, polished appearance. While this may be okay in the show ring, it is not recommended for everyday riding and lessons. Thus, when fitting your helmet, talk with the tack shop staff about whether you are shopping for a lesson helmet or a show helmet. 99% of the time, they are equestrians themselves and may be up-to-date on the latest rules and regulations regarding hair under helmets.