Finding cross references in Lyx

Your best bet here is to activate theOutline panel with View --> Outline Pane (Document --> Outline in older versions of LyX), and choose Labels and references. There you'll get a list of all labels, and you can expand each item to get links to the places where it is referenced.

It also shows the type of reference.

Your best bet here is to use a LaTeX-based approach via showkeys. Just add the package to your LaTeX preamble:

\usepackage{showkeys}% http://ctan.org/pkg/showkeys

It highlights \labels in the margin, and \refs inline:

\documentclass{article}
\usepackage{showkeys}% http://ctan.org/pkg/showkeys
\begin{document}
\section{First section}\label{first}
See section~\ref{last}.
\section{Second section}\label{second}
See section~\ref{first}.
\section{Last section}\label{last}
See section~\ref{first}.
\end{document}