Most efficient way to find string in array members

Hi

I'm wondering what the most efficient way to find out if a string is in an array.

For example, lets say I have an array of:
arr(0) = "me"
arr(1) = "you"
arr(2) = "them"
arr(3) = "no one"

I want to find out if "anyone" is in the array. I know I could loop through each element and compare the two strings. Is there a better way?