check the FAQ

Tackle low hanging fruit first:  Did you already swap spark plugs and coils with another cylinder (do one at a time, of course, not all at once in order to pinpoint the culprit) and see if the code moves to that cylinder?

You're right. In most cases if that coil fails, you'd be seeing a misfire on the paired cylinder with that "wasted spark" design.

On that 2.2L, cylinder 4 is paired with cylinder 1 on the same coil.

You may want to begin your troubleshooting by removing the spark plug and examining it. See if there's crud in the electrode gap, if it's sooty, oily, wet (from a coolant leak [head gasket], or if it has carbon tracking on the insulator that's grounding it out.

You may see a clue. Even if you don't, put a new plug in it. They're cheap and why not just remove a "bad plug" from the equation since it isn't any more work to screw in a new plug than it is to put the old plug back in.

If you can get your hands on a compression gauge, why not test the compression on that cylinder while you have the spark plug out? If this turns out not to be an ignition issue, you'll have to move on to fuel and compression next. You could remove the question about compression at the same time as you're doing this.

Next, wait until dark. Start the engine and pop the hood. Examine that #4 spark plug wire from the coil to the spark plug. See if it's arcing on any metal parts. (it's easy to see at night)

You can use a spray bottle of water and spray the length of the wire. See if that causes arcing to metal. If it does, put a new set of plug wires on the truck.

If nothing stands out, grab an HEI spark tester. (they're cheap. around $10). Test the spark at the spark plug end of the plug wire and test the spark at the coil. Here's a link on how to do that:

https://easyautodiagnostics.com/gm/2.2L/how-to-test-the-ignition-coil-pack-2

If the ignition all checks out OK and you did the compression test and it was OK then it's time to move on to air/fuel.

(sticking, clogged, inoperative, fuel injector (or wiring to the injector ((open/short))  or an intake manifold vacuum leak on cylinder 4).

Here, a cheap scanner will come in handy. Examining the fuel trims at different rpms can be helpful in diagnosing a vacuum leak.  (plenty of youtubes on how to do that or just ask the forum guys here. They'll walk you through it).

If it comes down to fuel, you'll want to test the power and ground signal at the cylinder 4 fuel injector connection.

Here's how to do that:

https://troubleshootmyvehicle.com/gm/2.2L/fuel-injector-noid-light-test-1

So to answer your question, "What should I look out for when diagnosing?

It could be caused by several reasons. Just be methodical in your troubleshooting.

Rule out 1 thing at a time. Cylinder 4 needs:

Ignition (spark). ((The HEI spark tester will be definitive if you have good spark)) and you've examined the old spark plug to make sure it wasn't fouling because of oil or coolant and you've even replaced the spark plug with a new one.

Compression. (the compression gauge will tell you that)

Fuel (correct air/fuel mix). If the fuel trims at idle compared to high rpms aren't changing, then it's not a vacuum leak.

You tested the Power and Ground signal at the fuel injector connection. (you don't need to buy a noid light like in the link I provided. You can use an LED test light  ((cheap. around $10)) but the procedure is the same.)

So after testing all this stuff, and if it all passes OK, it lands you on a bad fuel injector.

But a bad fuel injector is the last place you'd look. That's why you should perform these tests first. 

Mountainmanjoe is right, there is a very good check list on the FAQ. And I will also use the method Daywalker mentioned. Thank you all!