When you are researching your ancestors it is important to understand where they came from and what records were collected. One of the best places to start is the Ancestry.com wiki:
The wiki has the entire contents of both the The SourceandRed Book
Let’s say you find you have ancestors from Kentucky. You can start on the Kentucky page, by going to state research and then scrolling down to the state in question.
Kentucky Family Research gives you an overview of the state and on the right hand side specific discussions of types of records:
Looking at Kentucky Vital Records will give you specific information about when birth, marriage and death records were recorded.
Clicking on the Kentucky County Records will give you the overview of the when the counties began, when they collected vitals and the address of the courthouse.
Understanding your state and county will help you understand what to look for.