As mentioned above, go to your bike shop and try the saddles out. Any quality bike shop will have demo models in store.
My advice is try the Fizik saddles out. They have basically three shapes for bodies, then within those shapes, they have various models to choose from. They are expensive, but in my opinion, are worth it.
Oh, BTW, setting your saddle in the correct position is important. Do some googling and you'll quickly find how to set your saddle correctly.