We discuss a method of a search for LBV, SS433 type and late WN stars in nearby galaxies, which is based on photometry of H_alpha images of early stars. In the galaxy M33 we have compiled a list of candidates for strong wind supergiants and carried out a follow up spectroscopy of a part of the list objects. We find a high efficiency of our method, and present examples of spectra of new supergiant and LBV-like stars. We analyze different methods of a search for such objects and compare our list of candidates in M33 with other similar lists.