Kim's post on courthouse research at her blog "Ancestors of mine from Illinois, Indiana, Kentucky and Beyond" has many useful tips. This one struck me because it's an interesting kind of error we're all prone to:
Despite the growing amount of materials appearing on the internet, some records (or at least the complete file of those records) can only be accessed at the courthouse of origination. I have learned over time that I may find a copy of the "original record" online only to learn later that there are 4 or 5 other papers that go with that marriage record that had I not spent some time digging in the county I would never had known and would have missed some very important clues.
Read the whole thing.