The databases are a good source both for literary criticism and reference materials. Many of the same databases that are useful for general research in literature are also of interest when researching theory.
MLA is a good source, not only for criticism of particular works, but also for articles on theory and criticism.
Here are some searches you can do in MLA:
Name of Work. This lets you find everything MLA has on a specific play. If you are looking for criticism on the sonnets, please note that they do not have titles! If you search for them by number or first line, use the keyword search.
Person About. In addition to Shakespeare himself, you can also use this to search for the directors of specific film productions (Zeffirelli, Taymor, Olivier, etc). This can also work for actors.
Keyword. Choose your keywords carefully! You may find it useful to look at the subjects that come up in your results. Note that your keywords aren't always straightforward descriptions of your topic, but may also be the names of the things you're analyzing with respect to that topic.
As always, use the Find It button to access full text, electronically or in print.
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Browsing a journal is a good idea if you want to know what kinds of things people are publishing about Shakespeare.