1) Start with allergy pills (antihistamines) — Try Zyrtec or its generic, cetirizine. It works well, costs little, and usually has few side effects. If Zyrtec makes you sleepy, Allegra is the next choice. Claritin has almost no side effects, but it doesn't work as well as the others.  If Zyrtec doesn't help your allergies, Claritin won't either. Allergy pills don't do much for stuffiness — they help mostly with sneezing, itching, and a runny nose. They are safe to take regularly and don't lose their effect over time. Another over-the-counter option worth trying is Chlor-Trimeton, especially the time-release form.   It is an older type and can make you sleepier, but it works better for some people.

2) Steroid nose sprays — Many brands are available.  They all work about the same.  They are safe, low cost, and better than allergy pills for nose symptoms.  You can use them with allergy pills, but studies show that adding a pill to a spray is no better than the spray alone for nose symptoms.

3) Decongestant pills — Almost all over-the-counter allergy and sinus pills contain pseudoephedrine or phenylephrine. (Pseudoephedrine is prescription only in Mississippi.)  These are pretty much the only two decongestant pills you can buy. I don't think they are right for everyday use. Both can interfere with sleep if taken in the evening and can raise blood pressure in some people. They also tend to work less well over time. They are most helpful for short flare-ups, like a heavy ragweed day or a one-time pet exposure.

4) Decongestant sprays — Sprays like Afrin and Neo-Synephrine can be very useful, but you have to use them the right way. These are the sprays that people can get "hooked" on. It's not really an addiction — after using them too much, you get a cycle where swelling comes back stronger when the spray wears off, so you need more. This is called the rebound effect. These sprays are the strongest decongestants there are. If you only use them for 3 days in a row, the rebound effect is unlikely. You can use them longer if you only spray one side at a time, use just a little, and only when you really need it. I would guess 4 to 6 sprays a week, even for long stretches, won't cause rebound. That's not enough to keep heavy symptoms down, but it can be very helpful if congestion is keeping you up at night now and then. These sprays usually don't interfere with sleep the way decongestant pills do, and they only rarely affect blood pressure.

See the dedicated section on treating allergies with over-the-counter medicines for more. 

A doctor can prescribe medicines you can't buy over the counter. 

The most important of these are the steroid nose sprays. Many of these are now available without a prescription. Steroid sprays work better for stuffiness than allergy pills, and they have fewer side effects than decongestants. If you see your regular doctor, ask about a spray on its own or along with an allergy pill. Steroid sprays are safe for daily use even in children as young as 2. They don't have the rebound problem that over-the-counter decongestant sprays do. They work best when used every day, and I prefer to give them at bedtime. 

Prescription allergy pills like Allegra, Zyrtec, and Clarinex last 24 hours and cause much less sleepiness and dry mouth than the older over-the-counter pills. (Note: Allegra and Zyrtec, and the over-the-counter form of Claritin, are now sold without a prescription. Claritin is gentle but doesn't work well enough for everyone.) 

First, decide which kind of specialist to see. If you are sure you only have allergies, an allergist can help. If you also have sinus pain, face pain, one-sided symptoms, or you don't get better on allergy medicines, allergies may not be the whole story. In that case, see an ENT doctor (an ear, nose, and throat specialist). 

A specialist can help you be more certain about exactly what is going on. I believe most people who don't get better on the usual allergy medicines have something more than just allergies going on. 

Specialists are best at deciding when to use less-common medicines like Atrovent, Astelin, Singulair, or oral steroids. They are also the right people to decide when allergy testing and shots (immunotherapy) might help, and when a CT scan or other imaging is worth getting. 

I think allergy testing should be saved for certain situations. The following is only about allergies in the air that you breathe in through your nose.

People with clear seasonal allergy symptoms who don't get good relief from steroid nose sprays and modern allergy pills.
  
People who do get good relief from medicines but want to know exactly which things they are allergic to, and who may want to try allergy shots (immunotherapy) to eventually control allergies without medicine.

People with allergic fungal sinusitis (a long-lasting sinus problem caused by an unusual reaction to mold) — they have been shown to benefit from allergy shots aimed at mold spores.

People who also have asthma.

People with severe, long-lasting nose and sinus problems.

A few important things to know about allergy testing and treatment:
A positive test to something doesn't always mean that thing is the cause of your symptoms. I have seen many people with long-lasting sinus infections test positive to pollens, get successful allergy shots, and still have symptoms because they had more than one problem at the same time.
Allergy shots take many months or years to work. They are a long-term plan.
They are also expensive and time-consuming.

Allergy testing isn't a good way to figure out if allergies are the real cause of unclear symptoms. This is especially true if the main complaints are sinus pain, headaches, or repeated infections. In those cases, other tests like a CT scan are a better and more cost-effective way to find the cause.