The immigration checkpoint will be essentially unavoidable when you arrive at your final destination. You can't get anywhere interesting without passing through immigration first. You can't even get your checked luggage, as the baggage claim is between the immigration and customs checkpoints.
You may want to avoid passport control in an airport where you are making an international transfer. This is not possible in some countries, but in other cases it is mandatory. The best chance of doing so is to find the gate for your departing flight as soon as you get off your arriving flight. In some cases, you may even be able to learn your gate assignment before arrival; some airlines will announce this, particularly if your arriving flight is delayed. You will most likely receive a boarding pass for your second flight when you check in for your first. If not, you will first need to find the transfer check in desk. Ask an airline employee if it's location is not immediately obvious when you get off your plane.
Once you are in the transfer airport and have a boarding pass and a gate assignment, follow signs to your terminal and gate. Ask for help if you get confused, of course. In many countries it is not always possible to avoid immigration controls for international transfer flights, but if you want to do everything you can to avoid it, following signs to your gate is the best bet.
At your final destination, signs will direct you to the immigration checkpoint; they will often refer to it as "passport control." There are often separate lanes for people holding passports from the country, or, in the case of the EU, from any EU/EEA country. Choose the lane that fits your status. After passing through that checkpoint, you should follow signs for "baggage claim" or the like. In large airport terminals, there will be several baggage carousels, along with monitors indicating which carousel is distributing the luggage for which flight. Remember your flight number, therefore!
In European Union airports, after you collect your bags, you either walk through a green lane marked "nothing to declare" or a red lane marked "goods to declare."
You should only take the green lane if you have had time to look into the customs regulations and you are fairly sure that you do not need to declare any of your possessions. There are often customs officers observing the green lane, who may take you aside and question you about your assertion that you have nothing to declare. In my experience, this happens very rarely, but you still want to be prepared for the possibility.
If you need to speak with a customs official, for example because you have goods to declare and possibly pay duty on, take the red lane.