Instructions
Go to your local library and consult reference books such as the Krause "Standard Catalog of World Coins." This useful guide has a section on the United States, with the coins organized according to rising denominations. By consulting its pages you will be able to learn not only about the values of nickels from different years, but also about the size of mintages and where they were struck. There are also several important reference works on U.S. coins specifically, for instance "A Guide Book of United States Coins" by R. S. Yeoman.
Go online for up-to-date values by typing "Jefferson nickel + auction" into your computer's search engine. This should bring up a list of Jefferson nickels currently featured in online auctions. By browsing these lots you will gain a sense of the current demand for these coins.
Visit the U.S. Mint's own website for the historical background of Jefferson nickels, and updates as of 2010 on their current Westward Journey Nickel Series. Another useful resource is the American Numismatic Association's website, which has two essays on the nickel available to download.