The blue arrows -- located directly below the comic -- work much like a VCR/DVD/Music player. If you wish to go to the previous day's toon, hit the < button. If you wish to go all the way back to the first toon, hit the << button. To go forward a day... >; to jump to today's strip... >>.
To navigate to a specific date in the archives, just click the blue "Archives" button...also right below the strip.
And (most fun of all), if you want to jump around the archives at random, click the blue "Random Strip" button. (Try this a few times. Seriously. It's fun.)
Have a minute to spare for some extra awesomeness? Take the Sheldon Audio Tour. It's pretty fun, and shows you the better nooks 'n crannies of the site.