The  electronic editions of Shakespeare (link at the left) provide  electronic concordances.

In addition, the reference collection has a printed concordance to the Riverside edition, subdivided with sections for complete works, comedies, tragedies, histories, etc., and with separate listings for stage directions and speech headings:

Spevack, Marvin. A Complete and Systematic Concordance to the Works of Shakespeare. 1968-1980. Hildesheim; New York: Georg Olms Verlag, 1968-1980. 9 vols. Ref. PR2892 .S6 1968; also Lilly Ref.

Another concordance:

    Bartlett, John. A Complete Concordance or Verbal Index to Words, Phrases, and Passages in Dramatic Works of Shakespeare, with a Supplementary Concordance to the Poems. New York: St. Martin's Press, 1953 (first published in 1894). Perkins/Bostock PR2892 .B34 1953