There are things you can do, but there's no one place to look unfortunately!
1) Try The National Archives - they have all the PCC Wills but not those proved through other courts of and PCC Administrations.
2) If you have access to FMP they have the Death Duty indexes from 1790-something, so if the person died after that you could try looking for an entry though it's definitely not foolproof - People wrote wills but apparently didn't pay death duties, despite them leaving lots of money and property!
Other than that, it's a case of googling for indexes and or trying catalogues for county record offices. Wills were not always proved where the person lived - it depended on the value of their estate and if they owned property in another county etc. For instance, quite a few of my Hertfordshire ancestors wills were proved through the courts covering Essex and those can be found via SEAX (or whatever it's called now!)
Did you have anyone specific in mind?
