Ancestry.com was a big help, as they have the records online - (immigration records, census records, death records). You can download them and print them off. I did that and put them in my 'booklet' that I made for my in laws (grrr).
I only did US history - I didn't follow the families back through the 'old countries' so that made my job a bit easier. The library also has a lot of more recent stuff available - if you are looking for copies of obits and stuff like that. It's grim, but obits and death records are a really useful way to get info (and a family health history! You know what everyone died from!)
Once I got back a long ways, I got my info from historical societies in the area where the ancestor lived. If I could trace someone back by land records to that area, I would call that county's historical society and ask them for more info. They were always extremely excited to help - a lot of the people working in those places are distant relatives of the early settlers and love to share the history with you. At least that's how it worked for me. They had booklets and they sent them to me.
There is a giant geneology library in Salt Lake City. It is like the mecca for geneology, LOL. I think you have to make an appt to use the library, I'm not sure. I actually considered it when I hit some road blocks (I was living in CA at the time) but with perserverence I ended up getting tidbits of info and working the puzzle out. That's what is so fun about this - fitting pieces of the puzzle together to get the whole story on someone.
When I book my booklet together, I would have a page that started with Person X: Name, birthdate, birthplace. Then spouse, and a list of children (birth and death dates) so it looked like this:
John Doe: (1776-1832)
Spouse: Jane Doe (1785-1850)
Xavier Doe (....)
William Doe (....)
Then I numbered and lettered each head of household, and I worked my way back from my Husband, who was 1a. His sibs were 1b, 1c, 1d. His parents, both 2s (letter indicated birth order). So as you go backward, you know how many generations you were away from my husband's generation, and you also knew birth order. Kinda complicated but it really helped me to keep things organized, and maybe it helped the reader as well. So, in the end it looked like:
6d: John Doe
Spouse: Mary Doe
5a) Xavier Doe
5b) William Doe