Many states, counties and local areas have historical societies that are full of information for the family searcher. The quality and extensiveness of each collection varies according to the resources available, but it is well worth while to check out all of these possibilities in your search. Many county and state societies have complete census records on microfilm, as well as naturalization records.
Some have family files for prominent families of the area. If your family resided in a location during its early development, the local historical society may well have a file on them. During the 1930's, many areas had WPA writers go out and interview many of the older people in their area. These interviews are available and are full of information about that family's history.
Many societies also have copies of the newspapers published in their area and you can use these to check on obituaries and other significant events that might have received attention. Other books may be available and you may well find that families have chosen to contribute their family histories to the society.
If you are not sure that an historical society is the next best option for your research, consider using the advice feature of this site. This will help you pick your next best steps in your research. Go to Genealogy Search Advice.