One-way fares aren't always cheaper than round-trip flights. Airline pricing algorithms are to blame. But good-priced one-way flights, especially between Europe and the United States can be found, both online and through travel agents and consolidators.
Use a discount airline that sets its prices based on one-way flights. Southwest Airlines and JetBlue Airways are two such airlines.
Have a travel agent contact an airfare wholesaler, which is able to obtain blocks of airline tickets and resell them at a discount. Such agencies tend to work with travel agents only and not directly with the public.
Book a ticket through a European discount airline that serves the United States for flights to Europe. Discount airlines are starting to serve other continents, particularly Asia, but they do not yet fly to the United States.
Use the controversial tactic that some bargain hunters utilize: Purchase round-trip tickets that are cheaper than one-way fares and ditch the return portion. Note that this practice is frowned upon by the airlines--but not illegal.
Search online booking sites. They don't always produce the best results for finding cheap one-way tickets, but if you have the time to try different departure date and time options, you might have luck finding a well-priced ticket.