I started with all the family records that I had and that other relatives had. Then I did the on-line research at ancestry.com. Other sites are genealogy.com and the Mormon database.
If you know the cemeteries where ancestors are buried those are also good sources. Some are online, some you need to write to or visit in person. Census records and property/tax records are good sources.
Several of my ancestors were sea-going men so I was also able to access ships' logs and records at Mystic Seaport Museum. If you know the occupation of your ancestors that's another source you can access. That is, many professions have organizations to which their members belong. Also, alumni organizations for colleges are a source.
You can sometimes use your ancestor's occupation or hobby in creative searches. For example, I knew that my father was an electrical engineer and had some inventions but no details. Just out of curiosity I went the the website for the U.S. Patent Office and typed in his name. Two patents under his name popped up! That gave me not just some interesting details about his work but also provided me with a timeline for when he worked for different companies.
It's all about gathering clues and putting the pieces together like a puzzle.
One warning, especially with the Mormon database. When you find online family trees, be very cautious of the names they connect. Always cross verify with a second source. Thru experience I've found that the Mormon database is a little careless with documentation. It's like a Wiki source--anyone can submit data, and they don't verify it as closely as other sites.
Another tip--don't get hung up on the spelling of names, and be aware that some people, especially juniors, go by their middle names or nicknames. My father, for example, hated his first and middle names so he never used them in his adult life. He used just initials. Also, one of my ancestors came from the Portuguese Azores. In that cultural they used multiple familial names. American officials would sometimes list one name as surname, and sometimes one of the other names. When his son was an adult he dropped the "last" name and used a middle surname as his last name. That made my searches more complex. If any of your ancestors came from a non-English speaking country, keep in mind those cultural differences.
Happy hunting!
p.s. I use FamilyTreeMaker software which is a huge help when it comes to organizing and sharing your information.