You will likely find your best rate through a credit union, I personally think Affinity FCU has some great rates right now. If you have a good relationship with a local CU they will likely make the experience pretty easy for you.
If you are looking at a new vehicle there may be special financing offers from the manufacturer, in that case your bets bet would be to go to the dealership and apply there.
If you don't have great credit and are concerned about getting an approval then I would highly recommend going to a dealership and letting them shop around to get you an approval. Alternatively, there are sites online that shop multiple lenders and give you several options and rates.
If you want an idea of what you may qualify for, Capital One auto navigator is a soft pull online and gives you an idea of what interest rate and terms to expect.
Thanks