(not finished answering this question here yet)
The easy answer: check out Ancestry.com
This is not a complete list, it's a list of places where I've needed to obtain records from:
Social Security Records
There is a great search through the SSDI (Social Security Death Index) at ancestry.com. If you
find your ancestor there, ancestry.com prepares a written letter for you to send and it currently
costs $7 for each search. Things you can obtain from this are date of birth and parent's names.
Immigration & Naturalization Records
Census Records
Passenger Ship Records
Birth, Death, Marriage Certificates