I know I have mentioned this before, but it is worth repeating. The Family History Library in Salt Lake has a wonderful collection of material.
But they do not have everything.
There are millions of documents and records that have never been microfilmed or digitized. These documents are in many locations, but most of these are in local county courthouses. You might be surpised what court records are there in addition to other local records that have not been microfilmed.
This is true even for counties that have been heavily "filmed."