If you know which state you need your information from, try consulting this list of state libraries and archives, and seeing what records they have available.
If you have a city or county in mind, try Googling that city or county with the words "archives" or "public records" to find a local agency.
Consult a list of "Repositories of Primary Sources" all over the globe (from the University of Idaho).
The library also owns a reference book called The Genealogist's Address Book, which can help you identify other local and nationality-specific sources.
Here is a list of commonly-used terms and their meanings: