First of all, I highly recommend working with Sub-Layers in the Layers panel. Frequently, it is a much better way of accessing objects or a group of objects in your Illustrator file than clicking directly on the object or group on the artboard. Especially if you have many complex vector objects, groups, masks and linked files.
See the illustration below to see the best way to access your layers and sub-layers in Illustrator. The Layer Panel Options can be accessed under the options menu in the Layers panel by selecting ‘Panel Options...’.