I have never lived very close to the places where my ancestors lived. Because of this, I have become very reliant on the internet for most of my research. These are some of my favorite web sites for good research:
Ancestry: This one is quite obvious. It has a TON of stuff on there. The important thing is knowing where to go first. I personally love the census records and don't start my searches looking for "most relevant" (I go with categories).
Missouri Death Certificates A good portion of my family settled in Missouri at one time or another. This website is AWESOME! It has the actual death certificates of people who died in Missouri from 1910 to 1960.
Wisconsin Genealogy Index For information on any ancestor who lived in Wisconsin before 1907, this is where you need to go. It has birth, marriage, and death records.
Minnesota Historical Society I wish I had more family who live in Minnesota. They have a wealth of information: Birth Index from 1900-1934 (with some before 1900); Death Certificates Index from 1908-2007; and much more.