Online sources are great for finding reviews. But not all publications that review theatrical productions are available electronically. This is especially true for older issues of a journal or magazine or for one that has ceased publication. Print indexes can help you find citations which you can then use to request a review through Document Delivery Services.
Newspapers are a good place to find reviews. Here are some databases where you can look for newspaper reviews.
Here are some sources that provide critical analyses of various plays.