I'll cut to the chase, I've been doing this family history stuff for a few years and I've got some sources that I use on a regular basis. I like to mix and match my sources because one has the census years that the other doesn't, also I can use a free sight to determine if i want to spend the effort visiting one that costs money.
Lets start with the free stuff and then work our way into the cheap stuff. I think that you can easly find alot of origional documents for free right at home. I have found that sometimes the expensive stuff like Ancestry.com can make it more difficult to sift through the censuses. In fact the only reason I go to that sight any more is to look something up on the 1930 US Census because they are the only ones that I know of that has indexed it. That and all of the England censuses, although I havn't seen the 1911 census of England on their sight.
Lastly If you want to get ahold of all the expensive stuff for free, you can go to the family history center located at the local LDS Church, and it's OK to walk in there even if you aren't a Mormon. The only thing you have to fear is the dried up stories of old ladys talking about some great, great uncle they can't find on paper.
This websight is the first in the line of the extensive list of free stuff which you can use and within contains multiple methods of person finding possibilities. Though this one is free I will add that if you go to the library section of the sight and type in a place, you will be able to find an endless source of mail order microfilms and fiche, which run about six bucks a pop. It's totally worth it. A couple of times for six bucks I have found some family lines going all the way back to the 1500's.
Again, you have to go to the family history center in order to get the film because all of it comes from Utah.
Pilot family search
This one is my personal favorite, I have found dozens of birth, marriage, and death records scanned directly onto the sight and they can be downloaded to your computer for free.
On this particular record we find the death of a relative who disappeared. We all thought was murdered. Turns out he just found a new family.
Beta Family Search
I havn't used this one much myself, but I believe the concept is that the sight actually looks all over the net for the person whom you are looking for and filters in compatible sources which it will bring directly to you for your perusal.
This sight is my home town library. the way a general library websight works in the field of records search is a link called heritage quest. In order to access this you will need to go to your local library and get a library card. you can then use the cereal number on the card to access all of the United States censuses for free.
Although all of the censuses are free, four of them have not been indexed, that is 1830, 1840, 1850, and 1930 which is partially indexed and is being slowly updated, still with these censuses you are free to brows page by page through the town your relative lived in.
Another feature of heritage quest is the revolutionary records they have on file. if you think you have a relative who fought in the revolution you can see if his name is on the pension application list. If it's there then you can go to another source which I will be discussing next.
Now this is one that costs money in order to browse through but If you know about relatives that fought in the revolution they are the best resource for war pension applications, storys, muster rolls, and other in depth facts relating to the revolution. a good example of a sucess story; I once found a pension application for a relative where he had to provide indepth details of a particular battle and it was sisty five pages long.
It also has muster rolls for the civil war, and if your family came to America in the 1900's they have emaculent immigration records.
Genline for Sweden
This one costs a bit of money but it is a good source and the Sweeds kept awesome records, even yearly household schedules showing the previous parish which the family lived in.
Another good one is Roots web. This is a free search engine which allows people all over the world to colaberate their family trees in order to share information. Attached to it is ancestry.com which is the most popular websight, although it costs money to be a member it has the most documents some of which cannot be found anywhere else.
Somtimes you will need to learn a little about different countries your ancesters are from in order to get a perspective on where they lived and why they might have moved around. heres a free sight that teaches over twenty different languages.