Contact your local utilities to come out and mark any buried lines. You can get information about buried lines from your state government or the utility companies, but the easiest thing to do will be to call 811 or go to call811.com rather than contacting each individual utility.
Allow the utilities at least 3 business (non-weekend, non-holiday) days to come out and mark your property. They'll do this by spray-painting lines on your lawn or by planting flags, using different colors to designate different lines. Red lines are electrical lines; orange lines are communications lines (cable, phone); blue lines are potable (drinking) water; green lines are sewer or drainage lines; yellow lines are for oil or natural gas; purple lines are for reclaimed water (water used for irrigation purposes but not safe for drinking); and white lines mark where you plan to dig.
If there are still lines that are unmarked about 5 days after you called 811 (taking into account weekends and holidays), call again to make sure that all lines have been marked. Once they have been marked, you can begin digging. Dig around where the lines are marked, taking care not to go too deep all at once, as some lines may be buried at a shallow depth.